<PAGE>
Prospectus Supplement to Prospectus Dated May 6, 1999
[LOGO OF CAPITAL ONE APPEARS HERE]
Capital One Master Trust
Issuer
Capital One Bank
Seller and Servicer
$500,000,000 Class A Floating Rate Asset Backed Certificates, Series 1999-1
$62,500,000 Class B Floating Rate Asset Backed Certificates, Series 1999-1
- --------------------------------------------------------------------------------
You should consider carefully the risk factors beginning on page S-6 in this
prospectus supplement and on page 6 in the prospectus.
A certificate is not a deposit and neither the certificates nor the underlying
accounts or receivables are insured or guaranteed by the Federal Deposit
Insurance Corporation or any other government agency.
The certificates will represent interests in the trust only, not interests in
or obligations of Capital One Bank or any of its affiliates.
This prospectus supplement may be used to offer and sell the certificates only
if accompanied by the prospectus.
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<TABLE>
<CAPTION>
Class A Class B
certificates certificates
------------ ------------
<S> <C> <C>
Principal amount $500,000,000 $62,500,000
Certificate rate One-Month LIBOR One-Month LIBOR
plus 0.14% per year plus 0.34% per year
Interest paid Monthly, beginning Monthly, beginning
June 15, 1999 June 15, 1999
Expected final payment
date May 17, 2004 May 17, 2004
Legal final maturity July 16, 2007 July 16, 2007
Price to public per
certificate 100% 100%
Underwriting discount
per certificate 0.275% 0.325%
Proceeds to seller per
certificate 99.725% 99.675%
</TABLE>
The total price to public is $562,500,000, the total amount of the
underwriting discount is $1,578,125 and the total amount of proceeds plus
accrued interest and before deduction of expenses is $560,921,875.
Credit Enhancement--
. The Class B certificates are subordinated to the Class A certificates.
Subordination of the Class B certificates provides credit enhancement for
the Class A certificates.
. The trust also is issuing a collateral interest that is subordinated to both
the Class A certificates and the Class B certificates. Subordination of the
collateral interest provides credit enhancement for both the Class A
certificates and the Class B certificates.
This prospectus supplement and the accompanying prospectus relate only to the
offering of the Class A certificates and the Class B certificates.
Neither the Securities and Exchange Commission nor any state securities
commission has approved or disapproved these certificates or determined that
this prospectus supplement or the prospectus is accurate or complete. Any
representation to the contrary is a criminal offense.
Underwriters of the Class A certificates
Salomon Smith Barney
Chase Securities Inc.
Credit Suisse First Boston
J.P. Morgan & Co.
Underwriters of the Class B certificates
Salomon Smith Barney Credit Suisse First Boston
May 11, 1999
<PAGE>
IMPORTANT NOTICE ABOUT INFORMATION PRESENTED IN THIS
PROSPECTUS SUPPLEMENT AND THE ACCOMPANYING PROSPECTUS
Capital One Master Trust provides information to you about the certificates
in two separate documents: (a) the accompanying prospectus, which provides
general information about the Capital One Master Trust and the securities
issued by it, some of which may not apply to your certificates and (b) this
prospectus supplement, which describes the specific terms of your certificates.
This prospectus supplement may be used to sell certificates only if accompanied
by the prospectus.
If the terms of your certificates vary between this prospectus supplement and
the accompanying prospectus, you should rely on the information in this
prospectus supplement.
We include cross references in this prospectus supplement and the
accompanying prospectus to captions in these materials where you can find
additional related discussions. The following table of contents and the table
of contents in the accompanying prospectus provide the pages on which these
captions are located.
You can find a listing of the pages where capitalized terms used in this
prospectus supplement and the prospectus are defined under the caption "Index
of Terms for Prospectus Supplement" beginning on page S-42 in this document and
under the caption "Index of Terms for Prospectus" beginning on page 71 in the
accompanying prospectus. The capitalized terms are provided for your
convenience, to avoid unnecessary duplication of terms.
----------------
<PAGE>
TABLE OF CONTENTS
<TABLE>
<CAPTION>
Page
----
<S> <C>
SUMMARY OF TERMS.......................................................... S-1
The Trust................................................................ S-1
The Bank................................................................. S-1
Offered Securities....................................................... S-1
Certificates............................................................ S-1
Distribution Dates...................................................... S-1
Interest................................................................ S-1
Principal............................................................... S-1
Collateral Interest...................................................... S-2
Credit Enhancement....................................................... S-2
Other Interests In The Trust............................................. S-2
Other Series of Certificates............................................ S-2
The Seller's Interest................................................... S-2
The Receivables.......................................................... S-2
Collections By The Servicer.............................................. S-3
Allocations.............................................................. S-3
To Your Series.......................................................... S-3
Among Classes........................................................... S-3
Application of Collections............................................... S-3
Finance Charge Receivables Collections.................................. S-3
Excess Spread........................................................... S-3
Principal Collections................................................... S-4
Pay Out Events........................................................... S-4
Optional Repurchase...................................................... S-4
Registration............................................................. S-5
Tax Status............................................................... S-5
ERISA Considerations..................................................... S-5
Certificate Ratings...................................................... S-5
Exchange Listing......................................................... S-5
RISK FACTORS.............................................................. S-6
Credit Enhancement May Not Be Sufficient to Prevent Loss................. S-6
Class B Certificates Are Subordinate to the Class A Certificates; Trust
Assets May Be Diverted From Class B to Pay Class A...................... S-6
INTRODUCTION.............................................................. S-7
MATURITY CONSIDERATIONS................................................... S-7
THE BANK PORTFOLIO........................................................ S-9
General.................................................................. S-9
Delinquency and Loss Experience.......................................... S-10
Revenue Experience....................................................... S-12
Payment Rates............................................................ S-13
<CAPTION>
Page
----
<S> <C>
THE RECEIVABLES............................................................ S-13
USE OF PROCEEDS............................................................ S-17
THE BANK................................................................... S-17
SERIES PROVISIONS.......................................................... S-17
Interest Payments......................................................... S-17
Principal Payments........................................................ S-20
Subordination............................................................. S-21
Allocation Percentages.................................................... S-22
Principal Funding Account................................................. S-25
Reserve Account........................................................... S-25
Reallocation of Cash Flows................................................ S-26
Application of Collections................................................ S-28
Payment of Interest, Fees and Other Items................................ S-28
Excess Spread; Excess Finance Charges.................................... S-29
Payments of Principal.................................................... S-31
Defaulted Receivables; Investor Charge-Offs............................... S-32
Shared Principal Collections.............................................. S-33
Paired Series............................................................. S-33
Required Principal Balance; Addition of Accounts.......................... S-34
Pay Out Events............................................................ S-34
Servicing Compensation and Payment of Expenses............................ S-36
Series Termination........................................................ S-37
Federal Income Tax Consequences........................................... S-37
Reports................................................................... S-37
Legal Matters............................................................. S-37
ERISA CONSIDERATIONS....................................................... S-38
General................................................................... S-38
The Authorization......................................................... S-38
UNDERWRITING............................................................... S-40
INDEX OF TERMS FOR PROSPECTUS SUPPLEMENT................................... S-42
ANNEX I: PREVIOUS ISSUANCES OF CERTIFICATES................................ A-1
</TABLE>
i
<PAGE>
SUMMARY OF TERMS
This summary highlights selected information and does not contain all of the
information that you need in making your investment decision. It also provides
general, simplified descriptions of matters that, in some cases, are highly
technical and complex. More detail is provided in other sections of this
document and in the prospectus.
Do not rely upon this summary for a full understanding of the matters you need
to consider for any potential investment in the certificates.
To understand all of the terms of the offering of the certificates, you should
carefully read this entire document and the accompanying prospectus.
THE TRUST
The certificates will be issued by Capital One Master Trust, which is a master
trust formed in 1993.
The trustee is The Bank of New York.
THE BANK
Capital One Bank sells the receivables to the trust and services them. The bank
is a Virginia state-chartered credit card bank. Its principal office currently
is located at 11011 West Broad Street, Richmond, Virginia 23060 and its
telephone number is (804) 967-1000.
OFFERED SECURITIES
Certificates
Capital One Master Trust is offering:
. $500,000,000 of Class A certificates; and
. $62,500,000 of Class B certificates.
In this document, references to certificates include both Class A and Class B.
Only the Class A and Class B certificates are offered by this prospectus
supplement and the accompanying prospectus.
Beneficial interests in the certificates may be purchased in minimum
denominations of $1,000 and integral multiples of $1,000.
The certificates are expected to be issued on May 18, 1999.
Distribution Dates
Distribution dates for the certificates will be June 15, 1999 and, after that,
will be the 15th day of each month if the 15th is a business day and, if not,
the following business day.
Interest
Interest on the certificates will be paid on each distribution date.
The Class A certificates will bear interest at one-month LIBOR as determined
each month plus 0.14% per year.
The Class B certificates will bear interest at one-month LIBOR as determined
each month plus 0.34% per year.
Interest for the Class A certificates and Class B certificates will be
calculated as follows:
<TABLE>
<S> <C> <C>
Principal amount Number of days in interest period Rate for interest
X --------------------------------- X
at end of prior month 360 period
</TABLE>
You may obtain the interest rates for the current interest period and the
immediately preceding interest period by telephoning the trustee at (212) 815-
5738.
Principal
Principal of the certificates is expected to be paid in full on the May 2004
distribution date. We are scheduled to begin accumulating collections of
principal receivables for payment to the certificateholders starting on
September 1, 2002, but we may begin accumulating at a later date. No principal
will be paid to the Class B
S-1
<PAGE>
certificateholders until the Class A certificateholders are paid in full.
The certificates are expected to be paid on the date noted above; however,
principal may be paid earlier or later. Certificateholders will not be entitled
to any premium for early or late payment of principal. If certain adverse
events known as pay out events occur, principal may be paid earlier than
expected. If collections of the credit card receivables are less than expected
or are collected more slowly than expected, then principal payments may be
delayed. If the certificates are not paid on the expected final payment date,
collections of principal receivables will continue to be used to pay principal
on the certificates until the certificates are paid or until July 16, 2007,
whichever occurs first. July 16, 2007 is the legal final maturity date for
Series 1999-1.
See "Maturity Considerations," "Series Provisions--Allocation Percentages" and
"--Principal Payments" in this prospectus supplement.
COLLATERAL INTEREST
At the same time as the certificates are issued, the trust will issue an
interest in the assets of the trust known as the collateral interest. The
initial amount of the collateral interest is $62,500,000, which represents 10%
of the initial aggregate principal amount of the certificates plus the
collateral interest amount.
The holder of the collateral interest will have voting and certain other rights
as if the collateral interest were a subordinated class of certificates. The
collateral interest will be subordinated to both the Class A certificates and
the Class B certificates.
The collateral interest is not offered by this prospectus supplement and the
accompanying prospectus.
CREDIT ENHANCEMENT
Credit enhancement for the Class A certificates is provided by the
subordination of the Class B certificates and the collateral interest.
Credit enhancement for the Class B certificates is provided by the
subordination of the collateral interest.
Credit enhancement for your series is for your series' benefit only, and you
are not entitled to the benefits of credit enhancement available to other
series.
See "Series Provisions--Reallocation of Cash Flows," "--Application of
Collections" and "--Defaulted Receivables; Investor Charge-Offs" in this
prospectus supplement.
OTHER INTERESTS IN THE TRUST
Other Series of Certificates
The trust has issued numerous other series of certificates and expects to issue
additional series. A summary of the outstanding series is in "Annex I: Previous
Issuances of Certificates" included at the end of this prospectus supplement.
Annex I is hereby incorporated into this prospectus supplement by reference.
The issuance of future series will occur without prior review or consent by you
or any other certificateholder.
The Seller's Interest
The interest in the trust not represented by your series or by any other series
is the seller's interest. The seller's interest is owned by the bank. The bank
may, however, sell a portion of its interest in the seller's interest. The
seller's interest does not provide credit enhancement for your series or any
other series.
THE RECEIVABLES
The primary assets of the trust are receivables in MasterCard(R) and VISA(R)/1/
revolving credit card accounts. The receivables consist of principal
receivables and finance charge receivables.
The following information is as of March 12, 1999:
. Receivables in the trust: $11,287,511,825
. Accounts designated to the trust: 8,943,487
The above numbers include receivables that have been or will be added to the
trust between March 12, 1999 and the series issuance date.
See "The Receivables" in this prospectus supplement.
- --------
/1/MasterCard(R) and VISA(R) are federally registered servicemarks of
MasterCard International Inc. and VISA U.S.A., Inc. respectively.
S-2
<PAGE>
COLLECTIONS BY THE SERVICER
The bank, as servicer, will collect payments on the receivables and will
deposit those collections in an account. It will keep track of those
collections that are finance charge receivables and those that are principal
receivables.
ALLOCATIONS
To Your Series
Each month the bank, as servicer, will allocate collections received among
. your series;
. other series outstanding; and
. the seller's interest in the trust.
The amount allocated to your series will be determined based mainly upon the
size of the invested amount of your series compared to the total amount of
principal receivables in the trust. At the time of issuance of the
certificates, the invested amount for Series 1999-1 will be $625,000,000.
Among Classes
Amounts allocated to your series will be further allocated among the holders of
the Class A certificates, the holders of the Class B certificates and the
holder of the collateral interest on the basis of the invested amount of each
class. Initially the invested amount of each class will be equal to the
original principal amount of such class.
See "Series Provisions--Allocation Percentages" in this prospectus supplement.
You are entitled to receive payments of interest and principal only from
collections and other trust assets allocated to your series. The invested
amount, which is the primary basis for allocations to your series, is the sum
of (a) the Class A invested amount, (b) the Class B invested amount and (c) the
collateral invested amount.
If the invested amount of your series declines, amounts allocated and available
for payment to your series and to you will be reduced. In addition, for
purposes of allocating finance charge collections and amounts that are written
off as uncollectible, the allocations to the certificates will be based upon
the adjusted invested amount, which will be the invested amount less amounts
accumulated in the principal funding account for payment to the
certificateholders and the collateral interest holder on the expected final
payment date. For a description of the events which may lead to these
reductions, see "Series Provisions--Allocation Percentages" and "--Reallocation
of Cash Flows" in this prospectus supplement.
APPLICATION OF COLLECTIONS
The following steps describe how the trust allocates and applies collections of
finance charge receivables to your series.
Finance Charge Receivables Collections
. Collections of finance charge receivables allocated to the Class A
certificates will be used to pay interest on the Class A certificates, to pay
Class A's portion of the servicing fee and to cover Class A's portion of
receivables that are written off as uncollectible. Any remaining amount will
become excess spread and be applied as described below.
. Collections of finance charge receivables allocated to the Class B
certificates will be used to pay interest on the Class B certificates and to
pay Class B's portion of the servicing fee. Any remaining amount will become
excess spread and be applied as described below.
. Collections of finance charge receivables allocated to the collateral
interest will be used to pay the collateral interest's portion of the
servicing fee and any remaining amount will become excess spread and be
applied as described below.
Excess Spread
Each month the trust will distribute the excess spread and your series' share
of excess finance charges from other series in the following order of priority:
. first to make up deficiencies with respect to Class A;
. then to make up deficiencies with respect to Class B;
S-3
<PAGE>
. then to pay interest on the collateral interest and to make up deficiencies
with respect to the collateral interest;
. then, in limited circumstances, to fund a reserve account to cover interest
payment shortfalls during the accumulation period;
. finally to make payments to the holder of the collateral interest.
See "Series Provisions--Application of Collections" in this prospectus
supplement.
Principal Collections
The trust will apply your series' share of principal collections each month as
follows:
. First, principal collections allocated to the collateral interest and the
Class B certificates may be reallocated, if necessary, to make required
payments on the Class A certificates and the Class B certificates not made
from finance charge collections, excess spread or funds in the reserve
account.
. During the revolving period, no principal will be paid to you or accumulated
in a trust account. Instead, your series' share of principal collections will
then be treated as shared principal collections and may be available to make
principal payments for other series.
. The accumulation period is scheduled to begin on September 1, 2002, but may
begin at a later date. During the accumulation period, principal collections
will then be deposited in a trust account, up to a controlled deposit amount,
for payment to the holders of the Class A certificates, the Class B
certificates and the collateral interest on the expected final payment date.
. If a pay out event (described below) that applies to Series 1999-1 or to all
series occurs, the early amortization period will begin. During the early
amortization period, principal collections will then be paid first to the
Class A certificateholders, then to the Class B certificateholders and then
to the collateral interest holder.
. Any remaining principal collections will be first made available to other
series and then paid to the holders of the seller's interest or deposited in
the excess funding account.
PAY OUT EVENTS
The documents under which the Series 1999-1 interests will be issued include a
list of adverse events known as pay out events. If a pay out event that applies
to Series 1999-1 or to all series occurs, the trust will use collections of
principal receivables allocated to Series 1999-1 each month to pay principal.
Pay out events may occur if the seller fails to make required payments or
deposits, violates other covenants and agreements or makes representations and
warranties that are materially incorrect.
The following also are pay out events:
. The seller does not transfer additional assets to the trust when required;
. The yield on the trust portfolio less the amount of receivables that are
written off as uncollectible allocated to Series 1999-1 averaged over three
months is less than the weighted average interest rate for Series 1999-1,
calculated by taking into account the interest rate for Class A and Class B
and the collateral interest, plus the servicing fee rate for Series 1999-1;
. Certain defaults of the servicer;
. The Class A certificates, the Class B certificates and the collateral
interest are not paid in full on the expected final payment date;
. The occurrence of certain events of insolvency or receivership relating to
the seller (including any additional seller);
. The seller is unable to transfer receivables to the trust as required under
the pooling and servicing agreement; or
. The trust becomes an "investment company" under the Investment Company Act of
1940.
For a more detailed discussion of the pay out events, see "Series Provisions--
Pay Out Events" in this prospectus supplement. In addition, see "Description of
the Certificates--Pay Out Events" in the accompanying prospectus.
OPTIONAL REPURCHASE
The bank has the option to repurchase your certificates when the invested
amount for your series
S-4
<PAGE>
has been reduced to 5% or less of the initial invested amount. See "Risk
Factors--Optional Repurchase May Result in an Early Return of Principal and a
Reinvestment Risk" in the accompanying prospectus.
REGISTRATION
The certificates will be in book-entry form and will be registered in the name
of Cede & Co., as the nominee of The Depository Trust Company. Except in
certain limited circumstances, you will not receive a definitive certificate
representing your interest. See "The Pooling Agreement Generally--Definitive
Certificates" in the accompanying prospectus.
You may elect to hold your certificates through The Depository Trust Company,
in the United States, or Cedelbank, societe anonyme or the Euroclear System in
Europe. See "The Pooling Agreement Generally--Book-Entry Registration" and "--
Definitive Certificates" in the accompanying prospectus.
TAX STATUS
Orrick, Herrington & Sutcliffe LLP, as special tax counsel to the bank, is of
the opinion that under existing law your certificates will be characterized as
debt for federal income tax purposes. By your acceptance of a certificate, you
will agree to treat your certificates as debt for federal, state and local
income and franchise tax purposes. See "Federal Income Tax Consequences" in the
accompanying prospectus for additional information concerning the application
of federal income tax laws.
ERISA CONSIDERATIONS
Subject to important considerations described under "ERISA Considerations" in
this prospectus supplement and in the accompanying prospectus, the Class A
certificates are eligible for purchase by persons investing assets of employee
benefit plans or individual retirement accounts.
For the reasons discussed under "ERISA Considerations" in this prospectus
supplement and the accompanying prospectus, 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.
CERTIFICATE RATINGS
The Class A certificates are required to be rated in the highest rating
category by at least one nationally recognized rating organization and the
Class B certificates are required to be rated in one of the three highest
rating categories by at least one nationally recognized rating organization.
See "Prospectus Summary--Certificate Ratings" and "Risk Factors--Credit Ratings
Assigned to Your Certificates are Limited in Nature" in the accompanying
prospectus.
EXCHANGE LISTING
We will apply to list the certificates on the Luxembourg Stock Exchange. We
cannot guarantee that the application for the listing will be accepted.
S-5
<PAGE>
RISK FACTORS
In the accompanying prospectus you will find a section called "Risk Factors."
The information in that section applies to all series, including yours. The
information in this section applies more specifically to your series.
Please carefully read the "Risk Factors" section in the accompanying
prospectus and the risk factors discussed below before deciding whether to
purchase any of the certificates.
Credit Enhancement May Not
Be Sufficient to Prevent
Loss Credit enhancement for the Class A certificates
is provided through the subordination of the
Class B certificates and the collateral
interest. However, such credit enhancement is
limited. The only sources of payment for your
certificates are the assets of the trust
allocated to your series. If problems develop
with the receivables, such as an increase in
losses on the receivables, or there are
problems in the collection and transfer of the
receivables to the trust, it is possible that
you may not receive the full amount of interest
and principal that you would otherwise receive.
See "Series Provisions--Allocation Percentages"
and "--Defaulted Receivables; Investor Charge-
Offs" in this prospectus supplement.
Class B Certificates Are
Subordinate to the Class A
Certificates; Trust Assets
May Be Diverted From Class B
to Pay Class A
If you purchase a Class B certificate, your
right to receive principal payments is
subordinated to the payment in full of the
Class A certificates. No principal will be paid
to you until the full amount of principal has
been paid or accumulated for payment on the
Class A certificates. In addition, if Class A's
share of collections of finance charge
receivables allocated to Series 1999-1, excess
spread and the collateral interest's share of
principal collections are insufficient to make
all required payments for the Class A
certificates, collections of principal
receivables allocated to Class B may be
diverted to Class A. Also, if Class A's share
of losses on the receivables exceeds
collections and credit enhancement available to
cover those losses and the collateral interest
amount is reduced to zero, the Class B invested
amount may be reduced to avoid reducing the
Class A invested amount. If this occurs, the
Class B invested amount and future allocations
to Class B would be reduced. Accordingly, you
may receive payments of interest or principal
later than you expect or you may not receive
the full amount of principal and interest due
to you.
See "Series Provisions--Reallocation of Cash
Flows" and "--Defaulted Receivables; Investor
Charge-Offs" in this prospectus supplement.
S-6
<PAGE>
INTRODUCTION
The following provisions of this Prospectus Supplement contain more detailed
information concerning the asset backed certificates offered by this Prospectus
Supplement and the accompanying Prospectus. The certificates will be issued by
Capital One Master Trust (the "Trust") pursuant to a pooling and servicing
agreement, dated as of September 30, 1993 (as amended, the "Pooling
Agreement"), originally between a predecessor in interest to Capital One Bank
(the "Bank"), as Seller and Servicer, and The Bank of New York, as trustee (the
"Trustee").
The property of the Trust includes receivables (the "Receivables") generated
from time to time in a portfolio of consumer revolving credit card accounts and
other consumer revolving accounts (the "Accounts"), collections thereon and
certain other property as more fully described herein.
The Trust will issue $500,000,000 of its Class A Floating Rate Asset Backed
Certificates, Series 1999-1 (the "Class A Certificates"), $62,500,000 of its
Class B Floating Rate Asset Backed Certificates, Series 1999-1 (the "Class B
Certificates" and, together with the Class A Certificates, the "Investor
Certificates") and $62,500,000 of its Collateral Interest, Series 1999-1 (the
"Collateral Interest" and, together with the Investor Certificates, the "Series
1999-1 Interests").
The Series 1999-1 Interests will be issued pursuant to the Pooling Agreement,
together with the Series 1999-1 Supplement to the Pooling Agreement (the
"Series 1999-1 Supplement").
The Series 1999-1 Interests will be the twenty-fifth Series issued by the
Trust and the sixteenth Series outstanding, as of the Series Issuance Date,
included in a group of Series ("Group One") issued by the Trust from time to
time. See "Annex I: Previous Issuances of Certificates." Annex I is
incorporated into this Prospectus Supplement by reference.
The Investor Certificates offered by this Prospectus Supplement and the
accompanying Prospectus are investment grade asset backed securities within the
meaning of the Securities Act of 1933, as amended (the "Act") and the rules
promulgated thereunder.
MATURITY CONSIDERATIONS
The Pooling Agreement and the Series 1999-1 Supplement provide that the
holders of the Class A Certificates (the "Class A Certificateholders"), the
holders of the Class B Certificates (the "Class B Certificateholders" and,
together with the Class A Certificateholders, the "Investor
Certificateholders") and the holder of the Collateral Interest (the "Collateral
Interest Holder" and, together with the Investor Certificateholders, the
"Series 1999-1 Holders") will not receive payments of principal until the
May 2004 Distribution Date (the "Expected Final Payment Date"), or earlier if a
Pay Out Event occurs. Class A Certificateholders will receive payments of
principal on each Distribution Date following the Monthly Period in which a Pay
Out Event occurs (each such Distribution Date, a "Special Payment Date") until
the earliest to occur of (i) the date on which the Class A Invested Amount has
been paid in full, (ii) July 16, 2007 (the "Series 1999-1 Termination Date" or
the "Termination Date") or (iii) the Trust Termination Date. After the payment
of the Class A Invested Amount in full, the Class B Certificateholders will
receive payments of principal on each Distribution Date until the earliest to
occur of (i) the date on which the Class B Invested Amount has been paid in
full, (ii) the Series 1999-1 Termination Date or (iii) the Trust Termination
Date. After payment of the Class B Invested Amount in full, the Collateral
Interest Holder will receive payments of principal on each Distribution Date
until the earliest to occur of (i) the date on which the Collateral Invested
Amount has been paid in full, (ii) the Series 1999-1 Termination Date or (iii)
the Trust Termination Date.
On each Distribution Date during the accumulation period (the "Accumulation
Period"), amounts equal to the least of (a) Available Investor Principal
Collections (see "Series Provisions--Principal Payments" in this Prospectus
Supplement) for the related Monthly Period on deposit in the Collection
Account, (b) the applicable Controlled Deposit Amount, which is equal to the
sum of the applicable Controlled Accumulation Amount for
S-7
<PAGE>
such Monthly Period and any applicable Deficit Controlled Accumulation Amount
and (c) the Adjusted Invested Amount will be deposited in the principal funding
account held by the Trustee (the "Principal Funding Account") until the
Principal Funding Account Balance is equal to the Invested Amount or, if
earlier, the Expected Final Payment Date. See "Series Provisions--Principal
Payments" in this Prospectus Supplement for a discussion of circumstances under
which the start of the Accumulation Period may be delayed.
The Bank may, at or after the time at which the Accumulation Period begins,
cause another Series issued or to be issued by the Trust (or some portion
thereof, to the extent that the full principal amount of such other Series is
not otherwise outstanding at such time) to be a Paired Series with Series 1999-
1 to be used to finance the increase in the Seller's Interest caused by the
accumulation of principal in the Principal Funding Account for Series 1999-1.
Although no assurances can be given as to whether such other Series will be
issued and, if issued, the terms thereof, the outstanding principal amount of
such other Series may vary from time to time (whether or not a Pay Out Event
occurs with respect to Series 1999-1), and the interest rate with respect to
certificates of such other Series may be established on its date of issuance
and may be reset periodically. Further, since the terms of the Investor
Certificates will vary from the terms of such other Series, the Pay Out Events
for such other Series may vary from the Pay Out Events for Series 1999-1 and
may include Pay Out Events that are unrelated to the status of the Bank or the
Receivables, such as Pay Out Events related to the continued availability and
rating of certain providers of Series Enhancement to such other Series. If a
Pay Out Event does occur for any such Paired Series prior to the payment in
full of the Series 1999-1 Interests, the Principal Allocation Percentage could
be reduced and the final payment of principal to the Series 1999-1 Holders
could be delayed.
Should a Pay Out Event occur with respect to Series 1999-1 and the Early
Amortization Period begins on the first Special Payment Date with respect to
the Early Amortization Period, any amount on deposit in the Principal Funding
Account will be paid to the Class A Certificateholders and, after the Class A
Invested Amount has been paid in full, the Class B Certificateholders and,
after the Class B Invested Amount has been paid in full, the Collateral
Interest Holder. In addition, to the extent that the Class A Invested Amount
has not been paid in full, the Class A Certificateholders will be entitled to
monthly payments of principal equal to the Available Investor Principal
Collections until the earliest of (i) the date on which the Class A Invested
Amount has been paid in full, (ii) the Series 1999-1 Termination Date or (iii)
the Trust Termination Date. After the Class A Invested Amount has been paid in
full and if neither the Series 1999-1 Termination Date nor the Trust
Termination Date has occurred, Available Investor Principal Collections will be
paid to the Class B Certificateholders on each Special Payment Date until the
earliest of (i) the date on which the Class B Invested Amount has been paid in
full, (ii) the Series 1999-1 Termination Date or (iii) the Trust Termination
Date. After the Class B Invested Amount has been paid in full and if neither
the Series 1999-1 Termination Date nor the Trust Termination Date has occurred,
Available Investor Principal Collections will be paid to the Collateral
Interest Holder on each Special Payment Date until the earliest of (i) the date
the Collateral Invested Amount is paid in full, (ii) the Series 1999-1
Termination Date or (iii) the Trust Termination Date. Additionally, should a
Pay Out Event occur with respect to Series 1999-1 and the Early Amortization
Period begins, any amount on deposit in the Excess Funding Account will be
released and treated as Shared Principal Collections and Excess Shared
Principal Collections to the extent needed to cover principal payments due to
or for the benefit of any Series entitled to the benefits of Shared Principal
Collections or Excess Shared Principal Collections. See "Description of the
Certificates--Pay Out Events" in the accompanying Prospectus and "Series
Provisions--Pay Out Events" in this Prospectus Supplement.
The ability of Series 1999-1 Holders to receive payments of principal on the
Expected Final Payment Date depends on the payment rates on the Receivables,
the amount of outstanding Receivables, the delinquencies, charge-offs and new
borrowings on the Accounts, the potential issuance by the Trust of additional
Series and the availability of Shared Principal Collections. Monthly payment
rates on the Receivables may vary because, among other things, accountholders
may fail to make a required minimum payment, may only make payments as low as
the minimum required amount or may make payments as high as the entire
outstanding balance. Monthly payment rates may also vary due to seasonal
purchasing and payment habits of accountholders and to
S-8
<PAGE>
changes in any terms and conditions of the account. See the "Accountholder
Monthly Payment Rates for the Bank Portfolio" table under "The Bank Portfolio"
in this Prospectus Supplement. The Bank cannot predict, and no assurance can be
given, as to the accountholder monthly payment rates that will actually occur
in any future period, as to the actual rate of payment of principal of the
Series 1999-1 Interests or whether the terms of any previously or subsequently
issued Series might have an impact on the amount or timing of any such payment
of principal. A significant amount of receivables originated by the Bank was
attributable to customers who, attracted by the low introductory rates,
transferred balances from competing card issuers. Accounts in the Bank's low
introductory rate portfolio that reprice are subject to a significant risk of
attrition, because cardholders that were initially attracted by the Bank's low
introductory rates may determine to switch accounts or transfer account
balances to lower price products offered by competing card issuers. See "Risk
Factors--Ability to Continue the Trust Will Be Dependent Upon the Ability to
Generate New Receivables" and "Description of the Certificates--Shared
Principal Collections; Excess Shared Principal Collections" in the accompanying
Prospectus.
In addition, the amount of outstanding Receivables and the delinquencies,
charge-offs and new borrowings on the Accounts may vary from month to month due
to seasonal variations, the product mix of the Trust Portfolio, the
availability of other sources of credit, legal factors, general economic
conditions and spending and borrowing habits of individual accountholders.
There can be no assurance that collections of Principal Receivables with
respect to the Trust Portfolio, and thus the rate at which Series 1999-1
Holders could expect to receive payments of principal during the Early
Amortization Period or the rate at which the Principal Funding Account could be
funded during the Accumulation Period, will be similar to the historical
experience set forth in the "Accountholder Monthly Payment Rates for the Bank
Portfolio" table under "The Bank Portfolio." As described under "Series
Provisions--Principal Payments," the Bank may shorten the Accumulation Period
and, in such event, there can be no assurance that there will be sufficient
time to accumulate all amounts necessary to pay the Invested Amount on the
Expected Final Payment Date.
The Trust, as a master trust, has previously issued twenty-four Series,
fifteen of which are still outstanding, and may issue additional Series from
time to time, and there can be no assurance that the terms of any such Series
might not have an impact on the timing or amount of payments received by Series
1999-1 Holders. Further, if a Pay Out Event occurs, the average life and
maturity of the Class A Certificates, the Class B Certificates and the
Collateral Interest could be significantly reduced.
Due to the reasons set forth above, and the fact that the payment experience
for the more recently originated accounts in the Bank Portfolio (from which the
Accounts included in the Trust Portfolio have been selected) is limited (see
"The Bank Portfolio" in this Prospectus Supplement), there can be no assurance
that deposits in the Principal Funding Account will be made in accordance with
the Controlled Accumulation Amount or that the actual number of months elapsed
from the date of issuance of the Class A Certificates, the Class B Certificates
and the Collateral Interest to their final Distribution Date will equal the
expected number of months. See "Risk Factors--Ability to Continue the Trust
Will Be Dependent Upon the Ability to Generate New Receivables" in the
accompanying Prospectus.
THE BANK PORTFOLIO
General
The Accounts included in the Trust as of July 30, 1993 (the "Trust Cut-Off
Date") and subsequent Additional Cut-Off Dates (the "Trust Portfolio") were
selected from 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 May 1, 1999 (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. See "The
Accounts," "The Pooling Agreement Generally--Conveyance of Receivables" and "--
Representations and Warranties" in the accompanying Prospectus.
S-9
<PAGE>
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 date of the initial issuance of the
Investor Certificates (the "Series Issuance Date") constitute, and at any given
time thereafter may constitute, a material portion of the Trust Portfolio. See
"Risk Factors--The Laws Relating to Insolvency and the Perfection of Security
Interests Involve Discretion and Uncertainty and May Result in Other Interests
Having Priority Over Your Certificates," "The Bank's Credit Card and Consumer
Lending Business--Underwriting Procedures" and "Certain Legal Aspects of the
Receivables--Transfer of Receivables" in the accompanying Prospectus.
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 $14.685 billion as of the end of
March, 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.
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 March 12, 1999, the
Trust Portfolio (including Receivables added to the Trust between March 12,
1999 and the Series Issuance Date) represented approximately 54% and 77% of the
S-10
<PAGE>
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
March 31, 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............ $266,115 1.81% $276,021 1.83% $309,440 2.35% $261,165 2.16%
60 - 89 days........... 153,918 1.05 164,696 1.09 202,735 1.54 151,218 1.25
90 + days............... 261,929 1.78 286,135 1.89 323,803 2.46 335,986 2.78
-------- ---- -------- ---- -------- ---- -------- ----
Total.................. $681,962 4.64% $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 March 31, 1999 were
$14,685,037.
(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
-------------------------------------
Three Months
Ended
March 31, 1999 1998 1997(1) 1996
-------------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
Average Receivables
Outstanding............ $14,903,686 $13,618,769 $12,103,362 $11,028,180
Gross Losses............ $ 204,323 $ 930,334 $ 895,434 $ 509,689
Gross Losses as a
Percentage of Average
Receivables
Outstanding(2)......... 5.48% 6.83% 7.40% 4.62%
Recoveries.............. $ 62,533 $ 174,713 $ 74,902 $ 37,166
Net Losses.............. $ 141,790 $ 755,621 $ 820,532 $ 472,523
Net Losses as a
Percentage of Average
Receivables
Outstanding(2)......... 3.81% 5.55% 6.78% 4.28%
</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 three months ended March 31, 1999 are
annualized figures. Annualized figures are not necessarily indicative of
results for the entire year.
S-11
<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
-------------------------------------
Three Months
Ended
March 31, 1999 1998 1997(2) 1996
-------------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
Average Receivables
Outstanding............ $14,903,686 $13,618,769 $12,103,362 $11,028,180
Finance Charges and
Fees(1)................ $ 920,660 $ 3,165,960 $ 2,434,650 $ 1,904,885
Yield from Finance
Charges
and Fees(3)............ 24.71% 23.25% 20.12% 17.27%
Interchange............. $ 49,089 $ 165,115 $ 109,394 $ 97,892
Yield from
Interchange(3)......... 1.32% 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 three months ended March 31, 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. See "Risk Factors--Seller's
Ability to Change Terms of the Receivables Could Alter Payment Patterns" and
"--Consumer Protection Laws May Restrict the Bank's Ability to Collect
Receivables and Maintain Yield on Portfolio and Lead to an Early Amortization
or Inability to Pay Certificates in Full" in the accompanying Prospectus.
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.
S-12
<PAGE>
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 on the Accounts.
Accountholder Monthly Payment Rates
for the Bank Portfolio(1)
<TABLE>
<CAPTION>
Three Months Year Ended
Ended --------------------
March 31, 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........ 13.33% 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 March 12, 1999 (including
Receivables in Accounts to be conveyed to the Trust between March 12, 1999 and
the Series Issuance Date, which Receivables and Accounts are included in all
figures set forth below in this paragraph, the next paragraph and the following
tables) included $10,926,689,987.02 of Principal Receivables and
$360,821,838.42 of Finance Charge Receivables. The Accounts had an average
balance of $1,262.09 and an average credit limit of $3,445.73. The percentage
of the aggregate total Receivables balance to the aggregate total credit limit
was 37%. The average age of the Accounts was approximately 33 months. As of
March 12, 1999, all of the Accounts in the Trust Portfolio were VISA or
MasterCard credit card accounts, of which 69% were standard accounts and 31%
were premium accounts, and the aggregate Receivables balances of standard
accounts and premium accounts, as a percentage of the total aggregate
Receivables, were 39% and 61%, respectively. Since the formation of the Trust,
and prior to the Series Issuance Date, the Bank has added approximately $20.4
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.
S-13
<PAGE>
As of March 12, 1999, approximately 42% of the Trust Portfolio accounts were
assessed a variable rate periodic finance charge and approximately 58% were
assessed a fixed rate periodic finance charge.
The following tables summarize the Trust Portfolio by various criteria as of
March 12, 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.
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)........ 181,271 2.03% $ (15,859,494.30) (0.14)%
No Balance(2)............ 1,632,465 18.25 0.00 0.00
More than $0 and less
than or equal to
$1,500.00............... 5,186,317 57.99 2,541,588,539.70 22.52
$1,500.01-$5,000.00...... 1,300,009 14.54 3,879,118,987.05 34.36
$5,000.01-$10,000.00..... 552,850 6.18 3,720,345,319.82 32.96
Over $10,000.00.......... 90,575 1.01 1,162,318,473.17 10.30
--------- ------ ------------------ ------
TOTAL.................. 8,943,487 100.00% $11,287,511,825.44 100.00 %
========= ====== ================== ======
</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................ 4,828,935 53.99% $ 2,036,741,949.38 18.04%
$1,500.01-$5,000.00....... 1,376,214 15.39 1,893,570,692.16 16.78
$5,000.01-$10,000.00...... 2,334,290 26.10 5,086,382,599.20 45.06
Over $10,000.00........... 404,048 4.52 2,270,816,584.70 20.12
--------- ------ ------------------ ------
TOTAL................... 8,943,487 100.00% $11,287,511,825.44 100.00%
========= ====== ================== ======
</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.
S-14
<PAGE>
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)....... 8,410,891 94.04% $10,589,573,341.81 93.82%
Past due 30 - 59 days....... 219,326 2.45 281,270,272.48 2.49
Past due 60 - 89 days....... 119,441 1.34 144,435,121.32 1.28
Past due 90+ days........... 193,829 2.17 272,233,089.83 2.41
--------- ------ ------------------ ------
Total..................... 8,943,487 100.00% $11,287,511,825.44 100.00%
========= ====== ================== ======
</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.
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.... 436,777 4.88% $ 998,914,024.04 8.85%
Over 6 Months to 12
Months................... 760,574 8.50 1,974,271,796.88 17.49
Over 12 Months to 24
Months................... 2,730,148 30.53 2,514,008,311.62 22.27
Over 24 Months to 36
Months................... 2,282,227 25.52 1,588,514,729.49 14.07
Over 36 Months to 48
Months................... 893,466 9.99 1,122,128,113.12 9.95
Over 48 Months to 60
Months................... 834,710 9.33 1,253,968,160.78 11.11
Over 60 Months............ 1,005,585 11.25 1,835,706,689.51 16.26
--------- ------ ------------------ ------
Total................... 8,943,487 100.00% $11,287,511,825.44 100.00%
========= ====== ================== ======
</TABLE>
S-15
<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.................. 1,222,310 13.67% $ 1,511,737,811.57 13.39%
Texas....................... 695,049 7.77 845,103,512.91 7.49
Florida..................... 639,718 7.15 762,699,384.48 6.76
New York.................... 609,951 6.82 738,200,279.80 6.54
Illinois.................... 390,492 4.37 454,527,080.94 4.03
Pennsylvania................ 346,518 3.87 441,411,689.08 3.91
Ohio........................ 350,990 3.92 420,826,142.31 3.73
Virginia.................... 266,989 2.99 414,907,513.63 3.68
New Jersey.................. 284,582 3.18 362,558,542.61 3.21
Michigan.................... 284,722 3.18 352,337,970.18 3.12
Georgia..................... 246,790 2.76 328,065,985.35 2.91
North Carolina.............. 224,192 2.51 296,035,055.35 2.62
Massachusetts............... 228,846 2.56 288,406,545.54 2.55
Maryland.................... 194,904 2.18 281,848,688.62 2.50
Washington.................. 175,754 1.97 270,954,187.04 2.40
Indiana..................... 180,072 2.01 222,390,576.77 1.97
Missouri.................... 173,948 1.94 221,867,377.78 1.97
Minnesota................... 150,683 1.68 203,441,835.13 1.80
Tennessee................... 167,582 1.87 200,414,394.37 1.78
Colorado.................... 158,435 1.77 194,081,028.27 1.72
Arizona..................... 159,016 1.78 193,306,175.67 1.71
Alabama..................... 139,731 1.56 164,780,272.44 1.46
Connecticut................. 117,188 1.31 158,040,623.07 1.40
Louisiana................... 128,979 1.44 154,355,729.97 1.37
South Carolina.............. 109,301 1.22 137,748,852.98 1.22
Oregon...................... 102,867 1.15 137,018,345.27 1.21
Oklahoma.................... 108,213 1.21 130,188,897.12 1.15
Kentucky.................... 108,441 1.21 124,292,679.88 1.10
Kansas...................... 79,120 0.88 110,391,424.10 0.98
Arkansas.................... 79,193 0.89 97,942,052.22 0.87
Nevada...................... 79,399 0.89 97,882,987.65 0.87
Mississippi................. 85,530 0.96 89,312,558.30 0.79
West Virginia............... 57,733 0.65 75,093,829.45 0.67
New Hampshire............... 53,913 0.60 70,405,515.32 0.62
New Mexico.................. 48,854 0.55 63,936,553.20 0.57
Nebraska.................... 47,041 0.53 59,857,360.56 0.53
Utah........................ 45,285 0.51 55,844,506.79 0.49
Maine....................... 38,136 0.43 55,764,961.68 0.49
Iowa........................ 41,288 0.46 52,624,961.59 0.47
Idaho....................... 36,361 0.41 50,125,709.56 0.44
Hawaii...................... 35,143 0.39 48,699,616.31 0.43
Rhode Island................ 36,587 0.41 47,713,833.96 0.42
Wisconsin................... 24,612 0.28 44,675,178.65 0.40
Montana..................... 30,179 0.34 40,924,903.25 0.36
Alaska...................... 23,424 0.26 35,108,833.98 0.31
Vermont..................... 24,505 0.27 32,529,326.40 0.29
Delaware.................... 22,680 0.25 28,631,583.34 0.25
South Dakota................ 18,917 0.21 26,219,673.20 0.23
North Dakota................ 18,342 0.21 25,830,065.00 0.23
District of Columbia........ 20,458 0.23 25,570,250.89 0.23
Wyoming..................... 17,608 0.20 23,394,981.20 0.21
Other....................... 12,916 0.14 17,483,980.71 0.15
--------- ------ ------------------ ------
TOTAL..................... 8,943,487 100.00% $11,287,511,825.44 100.00%
========= ====== ================== ======
</TABLE>
S-16
<PAGE>
As of March 12, 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. See "Risk Factors--Consumer Protection
Laws May Restrict the Bank's Ability to Collect Receivables and Maintain Yield
on Portfolio and Lead to an Early Amortization or Inability to Pay Certificates
in Full" in the accompanying Prospectus.
USE OF PROCEEDS
The net proceeds from the sale of the Investor Certificates will be paid to
the Bank. The Bank will use such proceeds for general corporate purposes.
THE BANK
At March 31, 1999, the Bank had assets of approximately $7.6 billion and
stockholder's equity of approximately $819 million. For a more detailed
description of the Bank, see "The Bank" in the accompanying Prospectus.
SERIES PROVISIONS
The Investor Certificates and the Collateral Interest will be issued pursuant
to the Pooling Agreement and the Series 1999-1 Supplement. The following
summary describes certain terms applicable to the Investor Certificates.
Reference should be made to the Prospectus for additional information
concerning the Investor Certificates and the Pooling Agreement.
Interest Payments
Interest on the Class A Certificates and the Class B Certificates will accrue
from the Series Issuance Date on the outstanding principal balances of the
Class A Certificates and the Class B Certificates. Interest will be distributed
monthly on the 15th day of each month (or if any such day is not a business
day, the next succeeding business day), beginning on June 15, 1999 (each, a
"Distribution Date") to Investor Certificateholders in whose names the Investor
Certificates were registered at the close of business on the last day of the
calendar month preceding the date of such payment (the "Record Date"). For
purposes of this Prospectus Supplement and the Prospectus, a "business day"
shall mean, unless otherwise indicated, any day other than (a) a Saturday or
Sunday, or (b) any other day on which national banking associations or state
banking institutions in New York, New York or Richmond, Virginia are authorized
or obligated by law, executive order or governmental decree to be closed.
Interest for any Distribution Date will accrue from and including the preceding
Distribution Date (or in the case of the first Distribution Date, from and
including the Series Issuance Date) to but excluding such Distribution Date.
"Class A Certificate Rate" means a rate per annum equal to LIBOR for one-
month United States dollar deposits, determined as of the LIBOR Determination
Date as described below, plus 0.14%.
"Class B Certificate Rate" means a rate per annum equal to LIBOR for one-
month United States dollar deposits, determined as of the LIBOR Determination
Date as described below, plus 0.34%.
Because each of the Class A Certificate Rate and the Class B Certificate Rate
is a floating rate, interest will be calculated based on the actual number of
days in the period from and including the preceding Distribution Date (or, in
the case of the initial Distribution Date, the Series Issuance Date) to but
excluding such Distribution Date and a 360-day year.
S-17
<PAGE>
Interest payments on the Class A Certificates for each Distribution Date will
be calculated on the outstanding principal balance of the Class A Certificates
as of the close of business on the preceding Record Date (or in the case of the
initial Distribution Date, on the initial Class A principal balance) based upon
the Class A Certificate Rate. On each Distribution Date, Class A Monthly
Interest, Class A Outstanding Monthly Interest and Class A Additional Interest,
if any, for such Distribution Date will be paid to the Class A
Certificateholders. Payments to the Class A Certificateholders will be funded
from Class A Available Funds for the related Monthly Period. To the extent
Class A Available Funds allocated to the holders of the Class A Certificates
(the "Class A Certificateholders' Interest") for such Monthly Period are
insufficient to pay such interest, Excess Spread and Excess Finance Charges
allocated to Series 1999-1 and Reallocated Principal Collections allocable
first to the Collateral Invested Amount and then the Class B Invested Amount
will be used to make such payments or deposits.
"Class A Available Funds" means, for any Monthly Period, an amount equal to
the sum of (i) the Class A Floating Percentage of collections of Finance Charge
Receivables allocated to the Series 1999-1 Interests for such Monthly Period
(including any investment earnings and certain other amounts that are to be
treated as collections of Finance Charge Receivables in accordance with the
Pooling Agreement or the Series 1999-1 Supplement, but excluding the portion of
collections of Finance Charge Receivables attributable to Interchange that is
allocable to Servicer Interchange); (ii) if such Monthly Period relates to a
Distribution Date for the Accumulation Period, an amount equal to the product
of (a) the Class A Account Percentage and (b) the Principal Funding Investment
Proceeds, if any, for the related Distribution Date; and (iii) amounts, if any,
to be withdrawn from the Reserve Account which are required to be included in
Class A Available Funds pursuant to the Series 1999-1 Supplement for such
Distribution Date. "Class A Account Percentage" means, with respect to any date
of determination, the percentage equivalent of a fraction, the numerator of
which is the aggregate amount on deposit in the Principal Funding Account with
respect to Class A Monthly Principal as of the Record Date preceding the
related Distribution Date and the denominator of which is the Principal Funding
Account Balance on such date (before giving effect to any deposits therein on
such date).
Interest payments on the Class B Certificates for each Distribution Date will
be calculated on the outstanding principal balance of the Class B Certificates
as of the close of business on the preceding Record Date (or in the case of the
initial Distribution Date, on the initial Class B principal balance) based upon
the Class B Certificate Rate. On each Distribution Date, Class B Monthly
Interest, Class B Outstanding Monthly Interest and Class B Additional Interest,
if any, for such Distribution Date will be paid to the Class B
Certificateholders. Payments to the Class B Certificateholders on any
Distribution Date will be funded from Class B Available Funds for the related
Monthly Period. To the extent Class B Available Funds allocated to the holders
of the Class B Certificates (the "Class B Certificateholders' Interest" and,
together with the Class A Certificateholders' Interest, the "Investor
Certificateholders' Interest") for such Monthly Period are insufficient to pay
such interest, Excess Spread and Excess Finance Charges allocated to Series
1999-1 not required to pay the Class A Required Amount or reimburse Class A
Investor Charge-Offs and Reallocated Principal Collections allocable to the
Collateral Invested Amount and not required to pay the Class A Required Amount
or reimburse Class A Investor Charge-Offs, will be used to make such payments
or deposits.
"Class B Available Funds" means, for any Monthly Period, an amount equal to
the sum of (i) Class B Floating Percentage of collections of Finance Charge
Receivables allocated to the Series 1999-1 Interests for such Monthly Period
(including any investment earnings and certain other amounts that are to be
treated as collections of Finance Charge Receivables in accordance with the
Pooling Agreement or the Series 1999-1 Supplement, but excluding the portion of
collections of Finance Charge Receivables attributable to Interchange that is
allocable to Servicer Interchange); (ii) if such Monthly Period relates to a
Distribution Date for the Accumulation Period, an amount equal to the product
of (a) the Class B Account Percentage and (b) the Principal Funding Investment
Proceeds, if any, for the related Distribution Date; and (iii) amounts, if any,
to be withdrawn from the Reserve Account which are required to be included in
the Class B Available Funds pursuant to the Series 1999-1 Supplement for such
Distribution Date. "Class B Account Percentage" means,
S-18
<PAGE>
with respect to any date of determination, the percentage equivalent of a
fraction, the numerator of which is the aggregate amount on deposit in the
Principal Funding Account with respect to Class B Monthly Principal as of the
Record Date preceding the related Distribution Date and the denominator of
which is the Principal Funding Account Balance on such date (before giving
effect to any deposits therein on such date).
Interest payments on the Collateral Interest for each Distribution Date will
be calculated on the outstanding principal balance of the Collateral Interest
as of the close of business on the preceding Record Date (or in the case of the
initial Distribution Date, on the initial Collateral Interest principal
balance) based upon the Collateral Minimum Interest Rate. "Collateral Minimum
Interest Rate" means a rate per annum specified in the agreement between the
Bank and the Collateral Interest Holder relating to the transfer of the
Collateral Interest to the Collateral Interest Holder (the "Transfer
Agreement") not to exceed 6.60% per annum. The Collateral Minimum Interest Rate
specified herein is a fixed rate, so interest will be calculated based on the
basis of a 360-day year consisting of twelve 30-day months. On each
Distribution Date, Collateral Minimum Monthly Interest for the related Monthly
Period and any Collateral Minimum Monthly Interest previously due but not
distributed to the Collateral Interest Holder will be paid to the Collateral
Interest Holder. Payments to the Collateral Interest Holder on any Distribution
Date will be funded from Excess Spread and Excess Finance Charges allocated to
Series 1999-1 not required to pay the Class A Required Amount or the Class B
Required Amount or reimburse Class A Investor Charge-Offs or reductions in the
Class B Invested Amount for such Monthly Period.
For each of the Class A Certificate Rate and the Class B Certificate Rate,
the Servicer will determine LIBOR (i) for the initial Interest Period on the
second business day prior to the Series Issuance Date and (ii) for each
Interest Period following the initial Interest Period, on the second business
day prior to the first day of such Interest Period (each, a "LIBOR
Determination Date"). For purposes of calculating LIBOR, a business day is any
day on which dealings in deposits in U.S. Dollars are transacted in the London
interbank market.
"LIBOR" means, as of any LIBOR Determination Date, the rate for deposits in
U.S. Dollars for a period equal to the relevant Interest Period (commencing on
the first day of such Interest Period) which appears on Telerate Page 3750 as
of 11:00 a.m., London time, on such date. If such rate does not appear on
Telerate Page 3750, the rate for that day will be determined on the basis of
the rates at which deposits in U.S. Dollars are offered by the Reference Banks
at approximately 11:00 a.m., London time, on that day to prime banks in the
London interbank market for a period equal to the relevant Interest Period
(beginning on the first day of such Interest Period). The Servicer will request
the principal London office of each of the Reference Banks to provide a
quotation of its rate. If at least two such quotations are provided, the rate
for the day will be the arithmetic mean of the quotations. If fewer than two
quotations are provided as requested, the rate for that day will be the
arithmetic mean of the rates quoted by major banks in New York City, selected
by the Servicer, at approximately 11:00 a.m., New York City time, on that day
for loans in U.S. Dollars to leading international banks for a period equal to
the relevant Interest Period (beginning on the first day of such Interest
Period).
"Telerate Page 3750" means the display page currently so designated on the
Dow Jones Telerate Service (or such other page as may replace that page on that
service for the purpose of displaying comparable rates or prices).
"Reference Banks" means four major banks in the London interbank market
selected by the Servicer.
"Interest Period" means, for any Distribution Date, a period from and
including the preceding Distribution Date to but excluding such Distribution
Date; provided, however, that the initial Interest Period will constitute a
period from and including the Series Issuance Date to but excluding the
June 15, 1999 Distribution Date.
S-19
<PAGE>
Principal Payments
During the revolving period for Series 1999-1 (the "Revolving Period") (which
begins on the Series Cut-Off Date and ends on the day before the first day of
the Accumulation Period or, if earlier, the first day of the Early Amortization
Period), no principal payments will be made to Series 1999-1 Holders. During
the Accumulation Period (on or prior to the Expected Final Payment Date),
principal will be deposited in the Principal Funding Account as described below
and on the Expected Final Payment Date will be distributed to the Class A
Certificateholders up to the Class A Invested Amount, then to the Class B
Certificateholders up to the Class B Invested Amount and finally to the
Collateral Interest Holder up to the Collateral Invested Amount. During the
Early Amortization Period, which will begin upon the occurrence of a Pay Out
Event, and until the Termination Date occurs, principal will be paid first to
the Class A Certificateholders until the Class A Invested Amount has been paid
in full, and then to the Class B Certificateholders until the Class B Invested
Amount has been paid in full, and then to the Collateral Interest Holder until
the Collateral Invested Amount has been paid in full. No principal payments
will be made to the Class B Certificateholders until the final principal
payment has been made to the Class A Certificateholders. No principal payments
will be made to the Collateral Interest Holder until the final principal
payment has been made to the Class A Certificateholders and the Class B
Certificateholders.
On each Distribution Date during the Revolving Period, collections of
Principal Receivables allocable to the Investor Certificateholders' Interest
and the holder of the Collateral Interest (the "Collateral Interest Holder's
Interest") will, subject to certain limitations, including the allocation of
any Reallocated Principal Collections for the related Monthly Period to pay the
Class A Required Amount and the Class B Required Amount, be paid to the Bank to
purchase additional Receivables in order to maintain the Invested Amount and,
if necessary, be treated as Shared Principal Collections or deposited in the
Excess Funding Account.
On each Distribution Date during the Accumulation Period, the Trustee will
deposit in the Principal Funding Account an amount equal to the least of (a)
Available Investor Principal Collections on deposit in the Collection Account
for such Distribution Date, (b) the applicable Controlled Deposit Amount for
such Distribution Date and (c) the Adjusted Invested Amount, until the
Principal Funding Account Balance equals the Invested Amount. Amounts on
deposit in the Principal Funding Account will be paid first to Class A
Certificateholders (in an amount not to exceed the Class A Invested Amount),
then to Class B Certificateholders (to the extent such funds exceed the Class A
Invested Amount and in an amount not to exceed the Class B Invested Amount),
and to the Collateral Interest Holder (to the extent such funds exceed the sum
of the Class A Invested Amount and the Class B Invested Amount and in an amount
not to exceed the Collateral Invested Amount), in each case on the Expected
Final Payment Date (unless paid earlier due to the commencement of the Early
Amortization Period).
If a Pay Out Event occurs with respect to Series 1999-1, the Early
Amortization Period will begin and any amount on deposit in the Principal
Funding Account will be paid on the first Special Payment Date to the Class A
Certificateholders (up to the Class A Invested Amount), then to the Class B
Certificateholders (up to the Class B Invested Amount) and finally to the
Collateral Interest Holder (up to the Collateral Invested Amount). If, on the
Expected Final Payment Date, monies on deposit in the Principal Funding Account
are insufficient to pay the Invested Amount in full, a Pay Out Event will occur
and the Early Amortization Period will begin. On each Special Payment Date with
respect to the Early Amortization Period, the Class A Certificateholders will
be entitled to receive Available Investor Principal Collections for the related
Scheduled Payment Date in an amount up to the Class A Invested Amount until the
earliest of (a) the date the Class A Invested Amount is paid in full, (b) the
Series 1999-1 Termination Date and (c) the Trust Termination Date. After
payment in full of the Class A Invested Amount, the Class B Certificateholders
will be entitled to receive, on each Special Payment Date, Available Investor
Principal Collections for such Special Payment Date in an amount up to the
Class B Invested Amount until the earliest of (a) the date the Class B Invested
Amount is paid in full, (b) the Series 1999-1 Termination Date and (c) the
Trust Termination Date. After payment in full of the Class B Invested Amount,
the Collateral Interest Holder will be entitled to receive, on each Special
Payment Date, Available Investor Principal Collections for such Special Payment
Date in an amount up to the Collateral Invested Amount until the earliest of
(a) the date the Collateral Invested Amount is paid in full, (b) the Series
1999-1 Termination Date and (c) the Trust Termination Date.
S-20
<PAGE>
"Available Investor Principal Collections" means, for any Monthly Period, an
amount equal to the sum of (a) (i) an amount equal to the product of the
Principal Allocation Percentage of all collections of Principal Receivables
received during such Monthly Period, minus (ii) the amount of Reallocated
Principal Collections for such Monthly Period used to fund the Class A Required
Amount or the Class B Required Amount, plus (b) the amount of Miscellaneous
Payments, if any, for such Monthly Period allocated to Series 1999-1, plus (c)
any Shared Principal Collections from other Series that are allocated to Series
1999-1, plus (d) the amount, if any, of Class A Available Funds to be
distributed to cover the Class A Investor Default Amount for the related
Distribution Date, plus (e) any other amounts which pursuant to the Series
1999-1 Supplement are to be treated as Available Investor Principal Collections
for the related Distribution Date.
The Accumulation Period is scheduled to begin at the close of business on the
last day of the August 2002 Monthly Period. However, the Servicer may elect to
postpone the start of the Accumulation Period, and extend the length of the
Revolving Period, subject to certain conditions, including those set forth
below. The Servicer may make such election only if the Accumulation Period
Length (determined as described below) is less than twenty months. On each
Determination Date until the Accumulation Period begins, the Servicer will
determine the "Accumulation Period Length," which is the number of months
expected to be required to fully fund the Principal Funding Account no later
than the Expected Final Payment Date, based on (i) the expected monthly
collections of Principal Receivables expected to be distributable to the
Certificateholders of all Series (excluding certain other Series), assuming a
principal payment rate no greater than the lowest monthly principal payment
rate on the Receivables for the preceding twelve months and (ii) the amount of
principal expected to be distributable to Certificateholders of all Series
(excluding certain other Series) which are not expected to be in their
revolving period during the Accumulation Period. If the Accumulation Period
Length is less than twenty months, the Servicer may, at its option, postpone
the start of the Accumulation Period such that the number of months included in
the Accumulation Period will be equal to or exceed the Accumulation Period
Length. The effect of the foregoing calculation is to permit the reduction of
the length of the Accumulation Period based on the invested amounts of certain
other Series which are expected to be in their revolving periods during the
Accumulation Period or on increases in the principal payment rate occurring
after the Series Issuance Date. Notwithstanding the above, the Series 1999-1
Supplement may require that the number of months in the Accumulation Period
exceed the Accumulation Period Length and that certain minimum deposits be made
to the Principal Funding Account during the Accumulation Period. The length of
the Accumulation Period will not be less than one month. If the start of the
Accumulation Period is delayed in accordance with the foregoing, and if a Pay
Out Event occurs after the date originally scheduled as the start of the
Accumulation Period, then it is probable that the Series 1999-1 Holders would
receive some of their principal later than if the Accumulation Period had not
been delayed.
On each Distribution Date during the Early Amortization Period until the
earliest to occur of (i) the date on which the Class A Invested Amount has been
paid in full, (ii) the Termination Date or (iii) the Trust Termination Date,
the Class A Certificateholders will be entitled to receive Available Investor
Principal Collections in an amount up to the Class A Invested Amount. Upon
payment in full of the Class A Invested Amount, the Class B Certificateholders
will be entitled to receive, on each Distribution Date, Available Investor
Principal Collections until the earliest to occur of (i) the date on which the
Class B Invested Amount is paid in full, (ii) the Termination Date and (iii)
the Trust Termination Date. Upon payment in full of the Class B Invested
Amount, the Collateral Interest Holder will be entitled to receive, on each
Distribution Date, Available Investor Principal Collections until the earliest
to occur of (i) the date on which the Collateral Invested Amount is paid in
full, (ii) the Termination Date and (iii) the Trust Termination Date.
Subordination
The Class B Certificateholders' Interest and the Collateral Interest Holder's
Interest will be subordinated to the extent necessary to fund certain payments
with respect to the Class A Certificates. In addition, the Collateral Interest
Holder's Interest will be subordinated to the extent necessary to fund certain
payments with respect to the Class B Certificates. Certain principal payments
otherwise allocable to the Class B Certificateholders may be reallocated to the
Class A Certificateholders and the Class B Invested Amount may be decreased.
Similarly, certain principal payments allocable to the Collateral Interest
Holder's Interest may be
S-21
<PAGE>
reallocated to the Class A Certificateholders and the Class B
Certificateholders and the Collateral Invested Amount may be reduced. To the
extent the Class B Invested Amount is reduced and not reimbursed, the
percentage of collections of Finance Charge Receivables allocated to the Class
B Certificateholders in subsequent Monthly Periods 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 and interest distributable to the Class
B Certificateholders will be reduced. See "--Allocation Percentages," "--
Reallocation of Cash Flows" and "--Application of Collections--Excess Spread;
Excess Finance Charges" in this Prospectus Supplement.
Allocation Percentages
Pursuant to the Pooling Agreement, the Servicer will allocate among the
Investor Certificateholders' Interest and the Collateral Interest Holder's
Interest, the certificateholders' interest for all other Series of certificates
issued and outstanding and the Seller's Interest all collections of Finance
Charge Receivables and Principal Receivables and the Defaulted Amount for such
Monthly Period.
Collections of Finance Charge Receivables and the Defaulted Amount for any
Monthly Period will be allocated to Series 1999-1 based on the Floating
Allocation Percentage. The "Floating Allocation Percentage" means, for any
Monthly Period, the percentage equivalent (which percentage shall never exceed
100%) of a fraction, the numerator of which is the Adjusted Invested Amount as
of the last day of the preceding Monthly Period (or for the first Monthly
Period, the Initial Invested Amount) and the denominator of which is the sum of
the total amount of the Principal Receivables in the Trust as of such day (or
for the first Monthly Period, the total amount of Principal Receivables in the
Trust on the Series Cut-Off Date) and the principal amount on deposit in the
Excess Funding Account as of such day.
Such amounts so allocated will be further allocated among the Class A
Certificateholders, the Class B Certificateholders and the Collateral Interest
Holder in accordance with the Class A Floating Percentage, the Class B Floating
Percentage and the Collateral Floating Percentage. The "Class A Floating
Percentage" means, for any Monthly Period, the percentage equivalent (which
percentage shall never exceed 100%) of a fraction, the numerator of which is
equal to the Class A Adjusted Invested Amount as of the close of business on
the last day of the preceding Monthly Period (or for the first Monthly Period,
as of the Series Issuance Date) and the denominator of which is equal to the
Adjusted Invested Amount as of the close of business on such day (or for the
first Monthly Period, the Initial Invested Amount).
The "Class B Floating Percentage" means, for any Monthly Period, the
percentage equivalent (which percentage shall never exceed 100%) of a fraction,
the numerator of which is equal to the Class B Adjusted Invested Amount as of
the close of business on the last day of the preceding Monthly Period (or for
the first Monthly Period, as of the Series Issuance Date) and the denominator
of which is equal to the Adjusted Invested Amount as of the close of business
on such day (or for the first Monthly Period, the Initial Invested Amount).
The "Collateral Floating Percentage" means, for any Monthly Period, the
percentage equivalent (which percentage shall never exceed 100%) of a fraction,
the numerator of which is the Collateral Adjusted Invested Amount as of the
close of business on the last day of the preceding Monthly Period (or for the
first Monthly Period, as of the Series Issuance Date) and the denominator of
which is equal to the Adjusted Invested Amount as of the close of business on
such day (or for the first Monthly Period, the Initial Invested Amount).
Collections of Principal Receivables will be allocated to Series 1999-1 based
on the Principal Allocation Percentage. The "Principal Allocation Percentage"
means, for any Monthly Period, the percentage equivalent (which percentage
shall never exceed 100%) of a fraction, the numerator of which is (a) during
the Revolving Period, the Invested Amount as of the last day of the immediately
preceding Monthly Period (or, in the case of the first Monthly Period, the
Series Issuance Date) and (b) during the Accumulation Period or the Early
Amortization Period, the Invested Amount as of the last day of the Revolving
Period and the denominator of which is the greater of (i) the sum of the total
amount of Principal Receivables in the Trust as of the last day of the
immediately preceding Monthly Period and the principal amount on deposit in the
Excess Funding Account
S-22
<PAGE>
as of such last day (or, in the case of the first Monthly Period, the Series
Cut-Off Date) and (ii) the sum of the numerators used to calculate the
principal allocation percentages for all Series outstanding as of the date as
to which such determination is being made; provided, however, that because the
Investor Certificates are subject to being paired with a future Series, if a
Pay Out Event occurs with respect to such a paired Series during the
Accumulation Period or the Early Amortization Period for Series 1999-1, the
Bank may, by written notice delivered to the Trustee and the Servicer,
designate a different numerator for the foregoing fraction, provided that such
numerator is not less than the Adjusted Invested Amount as of the last day of
the revolving period for such paired Series and the Bank shall have received
written notice from each Rating Agency that such designation will not have a
Ratings Effect and shall have delivered copies of each such written notice to
the Servicer and the Trustee, and the Bank shall have delivered to the Trustee
a certificate of an authorized officer to the effect that, based on the facts
known to such officer at the time, in the reasonable belief of the Bank, such
designation will not cause a Pay Out Event or an event that, after the giving
of notice or the lapse of time, would constitute a Pay Out Event, to occur with
respect to Series 1999-1.
Such amounts so allocated to Series 1999-1 will be further allocated among
the Class A Certificateholders, the Class B Certificateholders and the
Collateral Interest Holder based on the Class A Principal Percentage, the Class
B Principal Percentage and the Collateral Principal Percentage.
The "Class A Principal Percentage" means, for any Monthly Period (a) during
the Revolving Period, the percentage equivalent (which shall never exceed 100%)
of a fraction, the numerator of which is equal to the Class A Invested Amount
as of the last day of the immediately preceding Monthly Period (or, in the case
of the first Monthly Period, the Class A Initial Invested Amount), and the
denominator of which is equal to the Invested Amount as of such day (or, in the
case of the first Monthly Period, the Initial Invested Amount) and (b) during
the Accumulation Period or the Early Amortization Period, the percentage
equivalent (which shall never exceed 100%) of a fraction, the numerator of
which is the Class A Invested Amount as of the last day of the Revolving
Period, and the denominator of which is the Invested Amount as of such last
day.
The "Class B Principal Percentage" means, for any Monthly Period, (i) during
the Revolving Period, the percentage equivalent (which percentage shall never
exceed 100%) of a fraction, the numerator of which is the Class B Invested
Amount as of the last day of the immediately preceding Monthly Period (or, in
the case of the first Monthly Period, the Class B Initial Invested Amount) and
the denominator of which is the Invested Amount as of such day (or, in the case
of the first Monthly Period, the Initial Invested Amount) and (ii) during the
Accumulation Period or the Early Amortization Period, the percentage equivalent
(which percentage shall never exceed 100%) of a fraction, the numerator of
which is the Class B Invested Amount as of the last day of the Revolving
Period, and the denominator of which is the Invested Amount as of such last
day.
The "Collateral Principal Percentage" means, for any Monthly Period, (i)
during the Revolving Period, the percentage equivalent (which percentage shall
never exceed 100%) of a fraction, the numerator of which is the Collateral
Invested Amount as of the last day of the immediately preceding Monthly Period
(or in the case of the first Monthly Period, the Collateral Initial Invested
Amount) and the denominator of which is the Invested Amount as of such day (or,
in the case of the first Monthly Period, the Initial Invested Amount) and (ii)
during the Accumulation Period or the Early Amortization Period, the percentage
equivalent (which percentage shall never exceed 100%) of a fraction, the
numerator of which is the Collateral Invested Amount as of the last day of the
Revolving Period, and the denominator of which is the Invested Amount as of
such last day.
As used herein, the following terms have the meanings indicated:
"Class A Initial Invested Amount" means $500,000,000.
"Class A Invested Amount" for any date of determination means an amount equal
to (i) the Class A Initial Invested Amount, minus (ii) the amount of principal
payments made to the Class A Certificateholders on or prior to such date, minus
(iii) the excess, if any, of the aggregate amount of Class A Investor Charge-
Offs
S-23
<PAGE>
for all prior Distribution Dates over the aggregate amount of any
reimbursements of Class A Investor Charge-Offs for all Distribution Dates prior
to such date; provided, however, that the Class A Invested Amount may not be
reduced below zero.
"Class A Adjusted Invested Amount" for any date of determination means an
amount equal to the then current Class A Invested Amount, minus the amount on
deposit in the Principal Funding Account (in an amount not to exceed the Class
A Invested Amount) on such date.
"Class B Initial Invested Amount" means $62,500,000.
"Class B Invested Amount" for any date of determination means an amount equal
to (i) the Class B Initial Invested Amount, minus (ii) the amount of principal
payments made to Class B Certificateholders on or prior to such date, minus
(iii) the excess, if any, of the aggregate amount of Class B Investor Charge-
Offs for all prior Distribution Dates over the aggregate amount of any
reimbursement of Class B Investor Charge-Offs for all Distribution Dates
preceding such date, minus (iv) the aggregate amount of Reallocated Principal
Collections for all prior Distribution Dates which have been used to fund the
Required Amount for such Distribution Dates (excluding any Reallocated
Principal Collections that have resulted in a reduction of the Collateral
Invested Amount), minus (v) an amount equal to the amount by which the Class B
Invested Amount has been reduced to fund the Class A Investor Default Amount on
all prior Distribution Dates as described below under "--Defaulted Receivables;
Investor Charge-Offs," plus (vi) the aggregate amount of Excess Spread and
Excess Finance Charges allocated and available to Series 1999-1 and applied on
all prior Distribution Dates for the purpose of reimbursing amounts deducted
pursuant to the foregoing clauses (iii), (iv) and (v); provided, however, that
the Class B Invested Amount may not be reduced below zero.
"Class B Adjusted Invested Amount" for any date of determination means an
amount equal to the then current Class B Invested Amount, minus the amount on
deposit in the Principal Funding Account in excess of the Class A Invested
Amount (in an amount not to exceed the Class B Invested Amount) on such date.
"Collateral Initial Invested Amount" means $62,500,000.
"Collateral Invested Amount" for any date of determination means an amount
equal to (i) the Collateral Initial Invested Amount, minus (ii) the aggregate
amount of principal payments made to the Collateral Interest Holder prior to
such date, minus (iii) the aggregate amount of Reallocated Principal
Collections allocable to the Collateral Invested Amount for all prior
Distribution Dates which have been used to fund the Class A Required Amount or
the Class B Required Amount, minus (iv) an amount equal to the aggregate amount
by which the Collateral Invested Amount has been reduced to fund the Class A
Investor Default Amount and the Class B Investor Default Amount on all prior
Distribution Dates as described below under "--Defaulted Receivables; Investor
Charge-Offs," minus (v) an amount equal to the product of the Collateral
Floating Percentage and the Investor Default Amount (the "Collateral Investor
Default Amount") for any Distribution Date that is not funded out of Excess
Spread and Excess Finance Charges allocated to Series 1999-1 and available for
such purpose on such Distribution Date, plus (vi) the aggregate amount of
Excess Spread and Excess Finance Charges allocated and available to reimburse
amounts deducted pursuant to the foregoing clauses (iii), (iv) and (v);
provided, however, that the Collateral Invested Amount may not be reduced below
zero.
"Collateral Adjusted Invested Amount" for any date of determination means an
amount equal to the Collateral Invested Amount, minus the amount on deposit in
the Principal Funding Account in excess of the sum of the Class A Invested
Amount and the Class B Invested Amount (in an amount not to exceed the
Collateral Invested Amount) on such date.
"Initial Invested Amount" means $625,000,000.
"Invested Amount" for any date of determination means an amount equal to the
sum of the Class A Invested Amount, the Class B Invested Amount and the
Collateral Invested Amount.
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<PAGE>
"Adjusted Invested Amount" for any date of determination means an amount
equal to the sum of the Class A Adjusted Invested Amount, the Class B Adjusted
Invested Amount and the Collateral Adjusted Invested Amount.
Principal Funding Account
The Servicer will establish and maintain in the name of the trustee, on
behalf of the Trust, the Principal Funding Account as an Eligible Deposit
Account held for the benefit of the Series 1999-1 Holders. During the
Accumulation Period, the Servicer will transfer collections of Principal
Receivables, Shared Principal Collections allocated to Series 1999-1,
Miscellaneous Payments allocated to Series 1999-1 and other amounts described
herein to be treated in the same manner as collections of Principal Receivables
from the Collection Account to the Principal Funding Account as described below
under "--Application of Collections."
Unless a Pay Out Event has occurred with respect to the Series 1999-1
Interests, all amounts on deposit in the Principal Funding Account (the
"Principal Funding Account Balance") on any Distribution Date (after giving
effect to any deposits to, or withdrawals from, the Principal Funding Account
to be made on such Distribution Date) will be invested to the following
Distribution Date by the Trustee at the direction of the Servicer in Eligible
Investments. On each Distribution Date for the Accumulation Period (on or prior
to the Expected Final Payment Date) the interest and other investment income
(net of investment expenses and losses) earned on such investments (the
"Principal Funding Investment Proceeds") will be withdrawn from the Principal
Funding Account and will be treated as a portion of Class A Available Funds,
Class B Available Funds and Collateral Available Funds. If Principal Funding
Investment Proceeds for any such Distribution Date are less than the Covered
Amount for such Distribution Date, the amount of any such shortfall will be
withdrawn from the Reserve Account, if available, as described below under "--
Reserve Account." The Available Reserve Account Amount at any time will be
limited and there can be no assurance that sufficient funds will be available
to fund any such shortfall. The "Covered Amount" means an amount equal to the
sum of (a) the product of (i) the Class A Certificate Rate in effect for the
related Interest Period, (ii) a fraction, the numerator of which is the actual
number of days from and including the preceding Distribution Date to but
excluding such Distribution Date and the denominator of which is 360, and (iii)
the aggregate amount on deposit in the Principal Funding Account for the Class
A Monthly Principal, if any, as of the preceding Distribution Date, plus (b)
the product of (i) the Class B Certificate Rate in effect for such Interest
Period, (ii) a fraction, the numerator of which is the actual number of days
from and including the immediately preceding Distribution Date to but excluding
such Distribution Date and the denominator of which is 360, and (iii) the
aggregate amount on deposit in the Principal Funding Account for the Class B
Monthly Principal, if any, as of the preceding Distribution Date, plus (c) one-
twelfth of the product of (i) the Collateral Minimum Interest Rate and (ii) the
aggregate amount on deposit in the Principal Funding Account for the Collateral
Monthly Principal, if any, as of the preceding Distribution Date.
Reserve Account
The Servicer will establish and maintain in the name of the Trustee, on
behalf of the Trust, a reserve account as an Eligible Deposit Account for the
benefit of the Series 1999-1 Holders (the "Reserve Account"). The Reserve
Account will be established to assure the subsequent distribution of interest
during the Accumulation Period. On each Distribution Date from and after the
Reserve Account Funding Date, but prior to the termination of the Reserve
Account, the Trustee, acting pursuant to the Servicer's instructions, will
apply Excess Spread and Excess Finance Charges allocated to Series 1999-1 (to
the extent described below under "--Application of Collections--Payment of
Interest, Fees and Other Items") to increase the amount on deposit in the
Reserve Account (to the extent such amount is less than the Required Reserve
Account Amount). The "Reserve Account Funding Date" will be the Distribution
Date for the Monthly Period that begins no later than one month prior to the
Distribution Date for the Monthly Period during which the Accumulation Period
begins, or such earlier date as the Servicer may designate. The "Required
Reserve Account Amount" for any Distribution Date on or after the Reserve
Account Funding Date will be equal to (a) the product of (i) 0.50% of the
Invested Amount as of the preceding Distribution Date (after giving effect to
all changes therein on such
S-25
<PAGE>
date) and (ii) the Reserve Account Factor as of such Distribution Date or
(b) such other amount designated by the Seller, provided that if such
designation is of a lesser amount, such reduction will not result in a Ratings
Effect. On each Distribution Date, after giving effect to any deposit to be
made to, and any withdrawal to be made from, the Reserve Account on such
Distribution Date, the Trustee will withdraw from the Reserve Account an amount
equal to the excess, if any, of the amount on deposit in the Reserve Account
over the Required Reserve Account Amount and will pay such amount to the
Collateral Interest Holder. The "Reserve Account Factor" for any Distribution
Date will be equal to the percentage (not to exceed 100%) equivalent of a
fraction, the numerator of which is the number of Monthly Periods scheduled to
be included in the Accumulation Period (as it may have been postponed at the
option of the Servicer) as of such Distribution Date and the denominator of
which is twenty.
If the Reserve Account has not terminated as described below, all amounts
remaining on deposit in the Reserve Account on any Distribution Date (after
giving effect to any deposits to, or withdrawals from, the Reserve Account to
be made on such Distribution Date) will be invested to the following
Distribution Date by the Trustee at the direction of the Servicer in Eligible
Investments. The interest and other investment income (net of investment
expenses and losses) earned on such investments will be retained in the Reserve
Account (to the extent the amount on deposit therein is less than the Required
Reserve Account Amount) or deposited in the Collection Account and treated as
collections of Finance Charge Receivables.
On or before each Distribution Date for the Accumulation Period (on or prior
to the Expected Final Payment Date) and on the first Special Payment Date, a
withdrawal will be made from the Reserve Account, and the amount of such
withdrawal will be deposited in the Collection Account and included in Class A
Available Funds or Class B Available Funds or distributed to the Collateral
Interest Holder, as provided in the Series 1999-1 Supplement, in an amount
equal to the lesser of (a) the Available Reserve Account Amount for such
Distribution Date or Special Payment Date and (b) the amount, if any, by which
the Covered Amount exceeds the Principal Funding Investment Proceeds and Excess
Spread and Excess Finance Charges allocated to Series 1999-1 available for
application towards the Covered Amount on such Distribution Date or Special
Payment Date; provided that the amount of such withdrawal will be reduced to
the extent that funds otherwise would be available to be deposited in the
Reserve Account on such Distribution Date or Special Payment Date. On each
Distribution Date, the amount available to be withdrawn from the Reserve
Account (the "Available Reserve Account Amount") will be equal to the lesser of
the amount on deposit in the Reserve Account (before giving effect to any
deposit to be made to the Reserve Account on such Distribution Date) and the
Required Reserve Account Amount for such Distribution Date.
The Reserve Account will be terminated following the earliest to occur of (a)
the termination of the Trust pursuant to the Pooling Agreement, (b) the date on
which the Invested Amount is paid in full and (c) if the Accumulation Period
has not begun, the occurrence of a Pay Out Event with respect to Series 1999-1
or, if the Accumulation Period has begun, the first Special Payment Date. Upon
the termination of the Reserve Account, all amounts on deposit therein (after
giving effect to any withdrawal from the Reserve Account on such date as
described above) will be distributed to the Collateral Interest Holder. Any
amounts withdrawn from the Reserve Account and distributed to the Collateral
Interest Holder as described above will not be available for distribution to
the Investor Certificateholders.
Reallocation of Cash Flows
On each Determination Date, the Servicer will determine the amount (the
"Class A Required Amount"), which will be equal to the amount, if any, by which
the sum of (i) Class A Monthly Interest for the related Distribution Date, (ii)
any Class A Outstanding Monthly Interest, (iii) any Class A Additional
Interest, (iv) the Class A Servicing Fee for such Distribution Date and any
unpaid Class A Servicing Fee and (v) the Class A Investor Default Amount, if
any, for such Distribution Date exceeds the Class A Available Funds for such
Distribution Date.
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<PAGE>
If the Class A Required Amount is greater than zero, Excess Spread and Excess
Finance Charges allocated to Series 1999-1 and available for such purpose will
be used to fund the Class A Required Amount for such Distribution Date. If such
Excess Spread and Excess Finance Charges are insufficient to fund the Class A
Required Amount, collections of Principal Receivables allocable first to the
Collateral Interest and then to the Class B Certificates for the related
Monthly Period ("Reallocated Principal Collections") will then be used to fund
the remaining Class A Required Amount. If Reallocated Principal Collections for
the related Monthly Period, together with Excess Spread and Excess Finance
Charges allocated to Series 1999-1 are insufficient to fund the Class A
Required Amount for such related Monthly Period, then the Collateral Invested
Amount will be reduced by the amount of such excess (but not by more than the
Class A Investor Default Amount for such Distribution Date). In the event that
such reduction would cause the Collateral Invested Amount to be a negative
number, the Collateral Invested Amount will be reduced to zero, and the Class B
Invested Amount will be reduced by the amount by which the Collateral Invested
Amount would have been reduced below zero (but not by more than the excess of
the Class A Investor Default Amount, if any, for such Distribution Date over
the amount of such reduction, if any, of the Collateral Invested Amount for
such Distribution Date). In the event that such reduction would cause the Class
B Invested Amount to be a negative number, the Class B Invested Amount will be
reduced to zero, and the Class A Invested Amount will be reduced by the amount
by which the Class B Invested Amount would have been reduced below zero, but
not by more than the excess, if any, of the Class A Investor Default Amount for
such Distribution Date over the amount of the reductions, if any, of the
Collateral Invested Amount and the Class B Invested Amount for such
Distribution Date as described above. Any such reduction in the Class A
Invested Amount may have the effect of slowing or reducing the return of
principal and interest to the Class A Certificateholders. In such case, the
Class A Certificateholders will bear directly the credit and other risks
associated with their undivided interest in the Trust. See "--Defaulted
Receivables; Investor Charge-Offs" below.
Reductions of the Class A or Class B Invested Amount shall thereafter be
reimbursed and the Class A or Class B Invested Amount increased on each
Distribution Date by the amount, if any, of Excess Spread and Excess Finance
Charges allocated to Series 1999-1 and available to reimburse such reductions.
See "--Application of Collections--Excess Spread; Excess Finance Charges"
below. When such reductions of the Class A and Class B Invested Amount have
been fully reimbursed, reductions of the Collateral Invested Amount will be
reimbursed and the Collateral Invested Amount increased in a similar manner.
On each Determination Date, the Servicer will determine an amount (the "Class
B Required Amount"), which will be equal to the sum of (a) the amount, if any,
by which the sum of (i) Class B Monthly Interest for the related Distribution
Date, (ii) any Class B Outstanding Monthly Interest, (iii) any Class B
Additional Interest and (iv) the Class B Servicing Fee for such Distribution
Date and any unpaid Class B Servicing Fee exceeds the Class B Available Funds
for such Distribution Date and (b) the Class B Investor Default Amount for the
related Monthly Period.
If the Class B Required Amount is greater than zero, Excess Spread and Excess
Finance Charges allocated to Series 1999-1 and not required to pay the Class A
Required Amount or reimburse Class A Investor Charge-Offs will be used to fund
the Class B Required Amount for such Distribution Date. If such Excess Spread
and Excess Finance Charges are insufficient to pay the Class B Required Amount,
Reallocated Principal Collections allocable to the Collateral Interest and not
required to pay the Class A Required Amount will then be used to fund the
remaining Class B Required Amount. If such Reallocated Principal Collections
allocable to the Collateral Interest for the related Monthly Period are
insufficient to fund the remaining Class B Required Amount, then the Collateral
Invested Amount will be reduced by the amount of such insufficiency (but not by
more than the Class B Investor Default Amount for such Distribution Date). In
the event that such a reduction would cause the Collateral Invested Amount to
be a negative number, the Collateral Invested Amount will be reduced to zero,
and the Class B Invested Amount will be reduced by the amount by which the
Collateral Invested Amount would have been reduced below zero (but not by more
than the excess of the Class B Investor Default Amount for such Distribution
Date over the amount of such reduction of the Collateral Invested Amount), and
the Class B Certificateholders will bear directly the credit and other risks
associated with their undivided interests in the Trust. See "--Defaulted
Receivables; Investor Charge-Offs" below.
S-27
<PAGE>
Application of Collections
Payment of Interest, Fees and Other Items. On each Distribution Date, the
Trustee, acting pursuant to the Servicer's instructions, will apply Class A
Available Funds, Class B Available Funds and Collateral Available Funds (see
"--Interest Payments" above) on deposit in the Collection Account in the
following priority:
(A) On each Distribution Date, an amount equal to the Class A Available Funds
for such Distribution Date will be distributed in the following priority:
(i) an amount equal to Class A Monthly Interest for such Distribution
Date, plus the amount of any Class A Outstanding Monthly Interest, plus the
amount of any Class A Additional Interest for such Distribution Date and
any Class A Additional Interest previously due but not distributed to the
Class A Certificateholders on a prior Distribution Date will be distributed
to the Class A Certificateholders;
(ii) an amount equal to the Class A Servicing Fee for such Distribution
Date, plus the amount of any Class A Servicing Fee previously due but not
distributed to the Servicer on a prior Distribution Date, will be
distributed to the Servicer (unless such amount has been netted against
deposits to the Collection Account);
(iii) an amount equal to the Class A Investor Default Amount for such
Distribution Date will be treated as a portion of Available Investor
Principal Collections for such Distribution Date; and
(iv) the balance, if any, shall constitute Excess Spread and shall be
allocated and distributed as described under "--Excess Spread; Excess
Finance Charges" below.
(B) On each Distribution Date, an amount equal to the Class B Available Funds
for such Distribution Date will be distributed in the following priority:
(i) an amount equal to Class B Monthly Interest for such Distribution
Date, plus the amount of any Class B Outstanding Monthly Interest, plus the
amount of any Class B Additional Interest for such Distribution Date and
any Class B Additional Interest previously due but not paid to the Class B
Certificateholders on a prior Distribution Date will be distributed to the
Class B Certificateholders;
(ii) an amount equal to the Class B Servicing Fee for such Distribution
Date, plus the amount of any Class B Servicing Fee previously due but not
distributed to the Servicer on a prior Distribution Date, will be
distributed to the Servicer (unless such amount has been netted against
deposits to the Collection Account); and
(iii) the balance, if any, shall constitute Excess Spread and shall be
allocated and distributed as described under "--Excess Spread; Excess
Finance Charges" below.
(C) On each Distribution Date, an amount equal to the Collateral Available
Funds for such Distribution Date will be distributed in the following priority:
(i) an amount equal to the Collateral Servicing Fee for such Distribution
Date, plus the amount of any Collateral Servicing Fee previously due but
not distributed to the Servicer on a prior Distribution Date, will be
distributed to the Servicer (unless such amount has been netted against
deposits to the Collection Account); and
(ii) the balance, if any, shall constitute Excess Spread and shall be
allocated and distributed as described under "--Excess Spread; Excess
Finance Charges" below.
"Class A Monthly Interest" means, for any Distribution Date, an amount equal
to the product of (A) a fraction, the numerator of which is the actual number
of days in the period from and including the preceding Distribution Date to but
excluding such Distribution Date and the denominator of which is 360, (B) the
Class A Certificate Rate and (C) the outstanding principal balance of the Class
A Certificates as of the preceding Record Date; provided, however, for the
first Distribution Date, Class A Monthly Interest shall be equal to the
interest accrued on the initial principal balance of the Class A Certificates
at the Class A Certificate Rate for the period from the Series Issuance Date to
but excluding the first Distribution Date.
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<PAGE>
"Class A Outstanding Monthly Interest" means, for any Distribution Date, the
amount of Class A Monthly Interest previously due but not paid to the Class A
Certificateholders.
"Class A Additional Interest" means any additional interest on interest
amounts that were due but not distributed to the Class A Certificateholders on
a prior Distribution Date, at a rate equal to the Class A Certificate Rate plus
2% per annum.
"Class B Monthly Interest" means, for any Distribution Date, an amount equal
to the product of (A) a fraction, the numerator of which is the actual number
of days in the period from and including the preceding Distribution Date to but
excluding such Distribution Date and the denominator of which is 360, (B) the
Class B Certificate Rate and (C) the outstanding principal balance of the Class
B Certificates as of the preceding Record Date; provided, however, for the
first Distribution Date, Class B Monthly Interest shall be equal to the
interest accrued on the initial principal balance of the Class B Certificates
at the Class B Certificate Rate for the period from the Series Issuance Date to
but excluding the first Distribution Date.
"Class B Outstanding Monthly Interest" means, for any Distribution Date, the
amount of Class B Monthly Interest previously due but not paid to the Class B
Certificateholders.
"Class B Additional Interest" means any additional interest on interest
amounts that were due but not distributed to the Class B Certificateholders on
a prior Distribution Date, at a rate equal to the Class B Certificate Rate plus
2% per annum.
"Collateral Available Funds" means, for any Monthly Period, an amount equal
to the sum of (i) the Collateral Floating Percentage of the collections of
Finance Charge Receivables (including any investment earnings and certain other
amounts that are to be treated as collections of Finance Charge Receivables in
accordance with the Pooling Agreement or the Series 1999-1 Supplement, but
excluding Finance Charge Receivables allocated to Servicer Interchange with
respect to such Monthly Period) allocated to the Series 1999-1 Certificates and
(ii) if such Monthly Period relates to a Distribution Date for the Accumulation
Period, an amount equal to the product of (a) the Collateral Account Percentage
and (b) the Principal Funding Investment Proceeds, if any, for the related
Distribution Date. "Collateral Account Percentage" means, with respect to any
date of determination, the percentage equivalent of a fraction, the numerator
of which is the aggregate amount on deposit in the Principal Funding Account
with respect to Collateral Monthly Principal as of the Record Date preceding
the related Distribution Date and the denominator of which is the Principal
Funding Account Balance on such date (before giving effect to any deposits
therein on such date).
"Excess Spread" means, for any Distribution Date, an amount equal to the sum
of the amounts described in clause (A)(iv) above, clause (B)(iii) above and
clause (C)(ii) above.
Excess Spread; Excess Finance Charges. On each Distribution Date, the
Trustee, acting pursuant to the Servicer's instructions, will apply Excess
Spread and Excess Finance Charges allocated to Series 1999-1 for the related
Monthly Period to make the following distributions in the following priority:
(a) an amount equal to the Class A Required Amount, if any, for such
Distribution Date will be used to fund any deficiency pursuant to clauses
(A)(i), (ii) and (iii) above under "--Payment of Interest, Fees and Other
Items"; provided that, in the event the Class A Required Amount for such
Distribution Date exceeds the amount of Excess Spread and Excess Finance
Charges allocated to Series 1999-1, such Excess Spread and Excess Finance
Charges shall be applied first to pay amounts due for such Distribution
Date pursuant to clause (A)(i) above under "--Payment of Interest, Fees and
Other Items," second to pay the Class A Servicing Fee pursuant to clause
(A)(ii) above under "--Payment of Interest, Fees and Other Items" and third
to pay the Class A Investor Default Amount for such Distribution Date
pursuant to clause (A)(iii) above under "--Payment of Interest, Fees and
Other Items";
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<PAGE>
(b) an amount equal to the aggregate amount of Class A Investor Charge-
Offs that have not been previously reimbursed (after giving effect to the
allocation on such Distribution Date of certain other amounts applied for
that purpose) will be treated as a portion of Available Investor Principal
Collections for such Distribution Date as described under "--Payments of
Principal" below;
(c) an amount equal to the Class B Required Amount, if any, for such
Distribution Date will be (I) used to fund any deficiency pursuant to
clauses (B)(i) and (ii) above under "--Payment of Interest, Fees and Other
Items" and (II) applied, up to the Class B Investor Default Amount, as a
portion of Available Investor Principal Collections for such Distribution
Date; provided that, in the event the Class B Required Amount for such
Distribution Date exceeds the amount of Excess Spread and Excess Finance
Charges allocated to Series 1999-1, such Excess Spread and Excess Finance
Charges shall be applied first to pay amounts due on such Distribution Date
pursuant to clause (B)(i) above under "--Payment of Interest, Fees and
Other Items," second to pay the Class B Servicing Fee pursuant to clause
(B)(ii) above under "--Payment of Interest, Fees and Other Items" and the
remainder applied as a portion of Available Investor Principal Collections
for such Distribution Date pursuant to clause (c)(II);
(d) an amount equal to the aggregate amount by which the Class B Invested
Amount has been reduced pursuant to clauses (iii), (iv) and (v) of the
definition of "Class B Invested Amount" under "--Allocation Percentages"
(but not in excess of the aggregate amount of such reductions which have
not been previously reimbursed) shall be treated as a portion of Available
Investor Principal Collections for such Distribution Date;
(e) an amount equal to the sum of (I) Collateral Minimum Monthly Interest
for such Distribution Date, plus the amount of any Collateral Outstanding
Monthly Interest and (II) the amount of any Collateral Additional Interest
for such Distribution Date and any Collateral Additional Interest
previously due but not distributed to the Collateral Interest Holder on a
prior Distribution Date will be distributed to the Collateral Interest
Holder;
(f) an amount equal to the Collateral Servicing Fee due but not paid to
the Servicer on such Distribution Date or a prior Distribution Date shall
be paid to the Servicer;
(g) an amount equal to the Collateral Investor Default Amount shall be
treated as a portion of Available Investor Principal Collections for such
Distribution Date;
(h) an amount equal to the aggregate amount by which the Collateral
Invested Amount has been reduced pursuant to clauses (iii), (iv) and (v) of
the definition of "Collateral Invested Amount" under "--Allocation
Percentages" (but not in excess of the aggregate amount of such reductions
that have not been previously reimbursed, including from the Spread
Account) shall be treated as a portion of Available Investor Principal
Collections for such Distribution Date;
(i) on each Distribution Date from and after the Reserve Account Funding
Date, but prior to the date on which the Reserve Account terminates as
described under "--Reserve Account," an amount up to the excess, if any, of
the Required Reserve Account Amount over the Available Reserve Account
Amount shall be deposited into the Reserve Account; and
(j) the balance, if any, will be distributed to the Collateral Interest
Holder.
"Collateral Minimum Monthly Interest" means, for any Distribution Date, an
amount equal to one-twelfth of the product of (i) the Collateral Minimum
Interest Rate and (ii) the outstanding principal balance of the Collateral
Interest as of the preceding Record Date; provided, however, that, for the
first Distribution Date, Collateral Minimum Monthly Interest shall be equal to
$320,833.33.
"Collateral Outstanding Monthly Interest" means, for any Distribution Date,
the amount of Collateral Minimum Monthly Interest previously due but not paid
to the Collateral Interest Holder.
"Collateral Additional Interest," for any Distribution Date, means additional
interest on Collateral Minimum Monthly Interest due but not paid to the
Collateral Interest Holder on a prior Distribution Date at a rate equal to the
Collateral Minimum Interest Rate.
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<PAGE>
Payments of Principal. On each Distribution Date, the Trustee, acting
pursuant to the Servicer's instructions, will distribute Available Investor
Principal Collections (see "--Principal Payments" above) on deposit in the
Collection Account in the following priority:
(i) on each Distribution Date for the Revolving Period, all such
Available Investor Principal Collections will be treated as Shared
Principal Collections and applied as described under "Description of the
Certificates--Shared Principal Collections; Excess Shared Principal
Collections" in the accompanying Prospectus; and
(ii) on each Distribution Date for the Accumulation Period or the Early
Amortization Period, all such Available Investor Principal Collections will
be distributed or deposited in the following priority:
(w) an amount equal to Class A Monthly Principal for such Distribution
Date, up to the Class A Adjusted Invested Amount on such Distribution Date,
will be deposited in the Principal Funding Account or, if such Distribution
Date is a Special Payment Date on which the Principal Funding Account
Balance is zero, shall be distributed to the Class A Certificateholders;
(x) after giving effect to paragraph (w) above, an amount equal to Class
B Monthly Principal for such Distribution Date, up to the Class B Adjusted
Invested Amount on such Distribution Date, will be deposited in the
Principal Funding Account or, if such Distribution Date is a Special
Payment Date on which the Principal Funding Account Balance is zero, will
be distributed to the Class B Certificateholders;
(y) after giving effect to paragraphs (w) and (x) above, an amount equal
to Collateral Monthly Principal for such Distribution Date, up to the
Collateral Adjusted Invested Amount on such Distribution Date, will be
deposited in the Principal Funding Account, or if such Distribution Date is
a Special Payment Date on which the Principal Funding Account Balance is
zero, will be distributed to the Collateral Interest Holder; and
(z) the balance, if any, will be treated as Shared Principal Collections
and applied as described under "Description of the Certificates--Shared
Principal Collections; Excess Shared Principal Collections" in the
accompanying Prospectus.
"Class A Monthly Principal" for any Distribution Date relating to the
Accumulation Period or the Early Amortization Period will equal the least of
(i) the Available Investor Principal Collections on deposit in the Collection
Account for such Distribution Date, (ii) for each Distribution Date for the
Accumulation Period, and on or prior to the Expected Final Payment Date, the
Controlled Deposit Amount for such Distribution Date and (iii) the Class A
Adjusted Invested Amount on such Distribution Date.
"Class B Monthly Principal" for any Distribution Date relating to (a) the
Accumulation Period, beginning with the first Distribution Date on which the
Principal Funding Account Balance is equal to the Class A Invested Amount, or
(b) the Early Amortization Period, beginning with the first Special Payment
Date on which the Class A Invested Amount is paid in full, will equal the least
of (i) the Available Investor Principal Collections not applied to Class A
Monthly Principal on such Distribution Date, (ii) for each Distribution Date
for the Accumulation Period, the Controlled Deposit Amount for such
Distribution Date (minus the Class A Monthly Principal for such Distribution
Date) and (iii) the Class B Adjusted Invested Amount on such Distribution Date.
"Collateral Monthly Principal" for any Distribution Date relating to the
Accumulation Period, beginning with the first Distribution Date on which the
Principal Funding Account Balance is equal to the sum of the Class A Invested
Amount and the Class B Invested Amount, or the Early Amortization Period,
beginning with the first Special Payment Date on which the Class B Invested
Amount is paid in full, will equal the least of (i) the Available Investor
Principal Collections not applied to Class A Monthly Principal or Class B
Monthly Principal on such Distribution Date, (ii) for each Distribution Date
for the Accumulation Period, the Controlled Deposit Amount for such
Distribution Date (minus the Class A Monthly Principal and Class B Monthly
Principal for such Distribution Date) and (iii) the Collateral Adjusted
Invested Amount on such Distribution Date.
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"Controlled Accumulation Amount" means $31,250,000; provided, however, that
if the start of the Accumulation Period is delayed as described above under "--
Principal Payments," the Controlled Accumulation Amount may be different for
each Distribution Date for the Accumulation Period and will be determined by
the Servicer in accordance with the Series 1999-1 Supplement based on the
principal payment rates for the Accounts and on the invested amounts of other
Series (other than certain excluded Series) that are scheduled to be in their
revolving periods and able to create Shared Principal Collections during the
Accumulation Period.
"Controlled Deposit Amount" means, for any Distribution Date relating to the
Accumulation Period, an amount equal to the sum of the Controlled Accumulation
Amount for such Distribution Date and any Deficit Controlled Accumulation
Amount for the immediately preceding Distribution Date.
"Deficit Controlled Accumulation Amount" means (a) on the first Distribution
Date for the Accumulation Period, the excess, if any, of the Controlled
Accumulation Amount for such Distribution Date over the amount distributed from
the Collection Account as Class A Monthly Principal, Class B Monthly Principal
and Collateral Monthly Principal for such Distribution Date and (b) on each
subsequent Distribution Date for the Accumulation Period, the excess, if any,
of the Controlled Deposit Amount for such subsequent Distribution Date plus any
Deficit Controlled Accumulation Amount for the prior Distribution Date over the
amount distributed from the Collection Account as Class A Monthly Principal,
Class B Monthly Principal and Collateral Monthly Principal for such subsequent
Distribution Date.
Defaulted Receivables; Investor Charge-Offs
On each Determination Date, the Servicer will calculate the Investor Default
Amount for the preceding Monthly Period. The term "Investor Default Amount"
means, for any Monthly Period, the product of (i) the Floating Allocation
Percentage for such Monthly Period and (ii) the Defaulted Amount for such
Monthly Period. A portion of the Investor Default Amount will be allocated to
the Class A Certificateholders (the "Class A Investor Default Amount") on each
Distribution Date in an amount equal to the product of the Class A Floating
Percentage applicable during the related Monthly Period and the Investor
Default Amount for such Monthly Period. A portion of the Investor Default
Amount will be allocated to the Class B Certificateholders (the "Class B
Investor Default Amount") in an amount equal to the product of the Class B
Floating Percentage applicable during the related Monthly Period and the
Investor Default Amount for such Monthly Period. An amount equal to the Class A
Investor Default Amount for each Monthly Period will be paid from Class A
Available Funds, Excess Spread and Excess Finance Charges allocated to Series
1999-1 or from Reallocated Principal Collections and applied as described above
in "--Application of Collections--Payment of Interest, Fees and Other Items"
and "--Reallocation of Cash Flows." An amount equal to the Class B Investor
Default Amount for each Monthly Period will be paid from Excess Spread and
Excess Finance Charges allocated to Series 1999-1 or from Reallocated Principal
Collections allocable to the Collateral Interest and applied as described above
in "--Application of Collections--Excess Spread; Excess Finance Charges" and
"--Reallocation of Cash Flows."
On each Distribution Date, if the Class A Required Amount for such
Distribution Date exceeds the sum of Excess Spread and Excess Finance Charges
allocable to Series 1999-1 and Reallocated Principal Collections, the
Collateral Invested Amount will be reduced by the amount of such excess, but
not by more than the Class A Investor Default Amount for such Distribution
Date. In the event that such reduction would cause the Collateral Invested
Amount to be a negative number, the Collateral Invested Amount will be reduced
to zero, and the Class B Invested Amount will be reduced by the amount by which
the Collateral Invested Amount would have been reduced below zero, but not by
more than the excess, if any, of the Class A Investor Default Amount for such
Distribution Date over the amount of such reduction, if any, of the Collateral
Invested Amount for such Distribution Date. In the event that such reduction
would cause the Class B Invested Amount to be a negative number, the Class B
Invested Amount will be reduced to zero, and the Class A Invested Amount will
be reduced by the amount by which the Class B Invested Amount would have been
reduced below zero, but not by more than the excess, if any, of the Class A
Investor Default Amount for such Distribution Date over the amount of the
reductions, if any, of the Collateral Invested Amount and the Class B
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Invested Amount with respect to such Distribution Date as described above (a
"Class A Investor Charge-Off"), which will have the effect of slowing or
reducing the return of principal to the Class A Certificateholders. If the
Class A Invested Amount has been reduced by the amount of any Class A Investor
Charge-Offs, it will thereafter be increased on any Distribution Date (but not
by an amount in excess of the aggregate Class A Investor Charge-Offs) by the
amount of Excess Spread and Excess Finance Charges allocated to Series 1999-1
and available for such purpose as described above under "--Application of
Collections--Excess Spread; Excess Finance Charges."
On each Distribution Date, if the Class B Required Amount for such
Distribution Date exceeds the sum of Excess Spread and Excess Finance Charges
allocable to Series 1999-1 and not required to pay the Class A Required Amount,
and Reallocated Principal Collections allocable to the Collateral Interest
Holder's Interest and not required to pay the Class A Required Amount, then the
Collateral Invested Amount will be reduced by the amount of such excess. In the
event that such reduction would cause the Collateral Invested Amount to be a
negative number, the Collateral Invested Amount will be reduced to zero, and
the Class B Invested Amount will be reduced by the amount by which the
Collateral Invested Amount would have been reduced below zero, but not by more
than the excess, if any, of the Class B Investor Default Amount for such
Distribution Date over the amount of such reduction, if any, of the Collateral
Invested Amount with respect to such Distribution Date (a "Class B Investor
Charge-Off"). If the Class B Invested Amount has been reduced by the amount of
any Class B Investor Charge-Offs, it will thereafter be increased on any
Distribution Date (but not by an amount in excess of the aggregate Class B
Investor Charge-Offs) by the amount of Excess Spread and Excess Finance Charges
allocated to Series 1999-1 and available for such purpose as described above
under "--Application of Collections--Excess Spread; Excess Finance Charges."
Shared Principal Collections
Series 1999-1 is a Principal Sharing Series. See "Description of the
Certificates--Shared Principal Collections; Excess Shared Principal
Collections" in the accompanying Prospectus.
The "Principal Shortfall" for Series 1999-1 will be (a) for any Distribution
Date for the Revolving Period, zero, (b) for any Distribution Date for the
Accumulation Period, the excess, if any, of the Controlled Deposit Amount for
such Distribution Date over the amount of Available Investor Principal
Collections for such Distribution Date (excluding any portion of Available
Investor Principal Collections attributable to Shared Principal Collections)
and (c) for any Distribution Date for the Early Amortization Period, the
excess, if any, of the Invested Amount over the Available Investor Principal
Collections for such Distribution Date (excluding any portion of the Available
Investor Principal Collections attributable to Shared Principal Collections).
Paired Series
The Series 1999-1 Interests may be paired with one or more other Series
(each, a "Paired Series"). Each Paired Series could be prefunded with an
initial deposit to a prefunding account in an amount up to the initial
principal balance of such Paired Series and primarily from the proceeds of the
sale of such Paired Series or could have a variable principal amount. Any such
prefunding account will be held for the benefit of such Paired Series and not
for the benefit of Series 1999-1 Holders. As funds are accumulated in the
Principal Funding Account, either (i) in the case of a prefunded Paired Series,
an equal amount of funds on deposit in any prefunding account for such
prefunded Paired Series could be released (which funds will be distributed to
the Bank) or (ii) in the case of a Paired Series having a variable principal
amount, an interest in such variable Paired Series in an equal or lesser amount
could be sold by the Trust (and the proceeds thereof will be distributed to the
Bank) and, in either case, the invested amount in the Trust of such Paired
Series could increase by up to a corresponding amount. Upon payment in full of
Series 1999-1, assuming that there have been no unreimbursed charge-offs with
respect to any related Paired Series, the aggregate invested amount of such
related Paired Series could have been increased by an amount up to an aggregate
amount equal to the Invested Amount paid to the Series 1999-1 Holders.
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The issuance of a Paired Series will be subject to the conditions described
under "Description of the Certificates--New Issuances" in the accompanying
Prospectus. There can be no assurance, however, that the terms of any Paired
Series might not have an impact on the calculation of the Principal Allocation
Percentage or the timing or amount of payments received by a Series 1999-1
Holder. The full extent by which the timing or amount of payments received by a
Series 1999-1 Holder may be affected will be dependent upon a number of factors
and will not be readily determinable by the change that may occur in the
Principal Allocation Percentage. See "--Allocation Percentages" in this
Prospectus Supplement and "Risk Factors--Issuance of Additional Series by the
Trust May Adversely Affect Your Payments or Rights" in the accompanying
Prospectus.
Required Principal Balance; Addition of Accounts
The obligation of the Trustee to authenticate certificates of a new Series
and to execute and deliver the related Series Supplement shall be subject to
the conditions described under "Description of the Certificates--New Issuances"
in the accompanying Prospectus and to the additional condition that, as of the
Series Issuance Date and after giving effect to such issuance, the aggregate
amount of Principal Receivables in the Trust equals or exceeds the Required
Principal Balance. The "Required Principal Balance" means, as of any date of
determination, the sum of the "Initial Invested Amount" (as defined in the
relevant Supplement) of each Series outstanding on such date plus the aggregate
amounts of any increases in the Invested Amounts of each Prefunded Series
outstanding (in each case, other than any Series or portion thereof (an
"Excluded Series") which is designated in the relevant Supplement as then being
an Excluded Series) minus the principal amount on deposit in the Excess Funding
Account on such date; provided, however, that if at any time the only Series
outstanding are Excluded Series and a Pay Out Event has occurred with respect
to one or more such Series, the Required Principal Balance shall mean the sum
of the "Invested Amount" (as defined in the relevant Supplement) of each such
Excluded Series as of the earliest date on which any such Pay Out Event is
deemed to have occurred minus the principal amount on deposit in the Excess
Funding Account.
If, as of the close of business on the last business day of any Monthly
Period, the aggregate amount of Principal Receivables in the Trust is less than
the Required Principal Balance on such date, the Bank shall on or before the
tenth business day following such day, unless the amount of Principal
Receivables in the Trust equals or exceeds the Required Principal Balance as of
the close of business on any day after the last business day of such Monthly
Period and prior to such tenth business day, make an Addition to the Trust such
that, after giving effect to such Addition, the amount of Principal Receivables
in the Trust is at least equal to the Required Principal Balance.
Pay Out Events
The Pay Out Events with respect to Series 1999-1 will include each of the
events specified in the accompanying Prospectus under "Description of the
Certificates--Pay Out Events" and the following:
(a) failure on the part of the Seller (i) to make any payment or deposit
required under the Pooling Agreement or the Series 1999-1 Supplement within
five business days after the day such payment or deposit is required to be
made; or (ii) to observe or perform any other covenants or agreements of
the Seller set forth in the Pooling Agreement or the Series 1999-1
Supplement, which failure has a material adverse effect on the Series 1999-
1 Holders and which continues unremedied for a period of 60 days after
written notice;
(b) any representation or warranty made by the Seller in the Pooling
Agreement or the Series 1999-1 Supplement or any information required to be
given by the Seller to the Trustee to identify the Accounts proves to have
been incorrect in any material respect when made and continues to be
incorrect in any material respect for a period of 60 days after written
notice and as a result of which the interests of the Series 1999-1 Holders
are materially and adversely affected; provided, however, that a Pay Out
Event shall not be deemed to occur thereunder if the Seller has repurchased
the related Receivables or all such Receivables, if applicable, during such
period in accordance with the provisions of the Pooling Agreement;
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(c) a failure by the Seller to make an Addition to the Trust within five
business days after the day on which it is required to make such Addition
pursuant to the Pooling Agreement or the Series 1999-1 Supplement;
(d) the occurrence of any Servicer Default;
(e) the average Portfolio Yield for any three consecutive Monthly Periods
is less than the average of the Base Rates with respect to Series 1999-1
for such three Monthly Periods;
(f) the failure to pay in full the Invested Amount on the Expected Final
Payment Date; and
(g) the Seller is unable for any reason to transfer Receivables to the
Trust in accordance with the Pooling Agreement or the Series 1999-1
Supplement.
Then, in the case of any event described in subparagraph (a), (b) or (d),
after the applicable grace period, if any, set forth in such subparagraphs,
either the Trustee or the holders of Series 1999-1 Interests evidencing more
than 50% of the aggregate unpaid principal amount of Series 1999-1 by notice
then given in writing to the Seller and the Servicer (and to the Trustee if
given by the Investor Certificateholders) may declare that a Pay Out Event has
occurred with respect to Series 1999-1 as of the date of such notice, and, in
the case of any event described in subparagraph (c), (e), (f) or (g), a Pay Out
Event shall occur with respect to Series 1999-1, without any notice or other
action on the part of the Trustee immediately upon the occurrence of such
event.
If, contrary to the opinion of Tax Counsel described under "Federal Income
Tax Considerations--General" in the accompanying Prospectus, it is determined
that the Class A Certificates or the Class B Certificates do not constitute
indebtedness for Federal income tax purposes, such determination will not
constitute a Pay Out Event with respect to Series 1999-1.
For purposes of the Pay Out Event described in clause (e) above, the terms
"Base Rate" and "Portfolio Yield" will be defined as follows for Series 1999-1:
"Base Rate" means, for any Monthly Period, the annualized percentage
equivalent of a fraction, the numerator of which is equal to the sum of Class A
Monthly Interest, Class B Monthly Interest, Collateral Minimum Monthly Interest
and the Monthly Servicing Fee for Series 1999-1 for the related Distribution
Date and the denominator of which is the Invested Amount as of the last day of
the preceding Monthly Period; provided, however, that if the Seller receives
written notice from each Rating Agency that the following will not have a
Ratings Effect, for purposes of determining the Base Rate, the Monthly
Servicing Fee will be replaced with an amount equal to one-twelfth of the
product of (a) the Net Servicing Fee Rate and (b) the Servicing Base Amount.
"Portfolio Yield" means, for any Monthly Period, the annualized percentage
equivalent of a fraction, the numerator of which is equal to (a) the Floating
Allocation Percentage times the amount of collections of Finance Charge
Receivables (including any investment earnings and certain other amounts that
are to be treated as collections of Finance Charge Receivables in accordance
with the Pooling Agreement) for such Monthly Period calculated on a billed
basis or, in the case of any such collections consisting of annual membership
fees, on an amortized rather than billed basis, plus (b) the amount of
Principal Funding Investment Proceeds for the related Distribution Date, plus
(c) any Excess Finance Charges that are allocated to Series 1999-1, plus (d)
the amount of funds withdrawn from the Reserve Account and which are required
to be included as Class A Available Funds or Class B Available Funds or paid to
the Collateral Interest Holder for the Distribution Date for such Monthly
Period, minus (e) the Investor Default Amount for the Distribution Date for
such Monthly Period, and the denominator of which is the Invested Amount as of
the last day of the preceding Monthly Period.
If the proceeds of any sale of the Receivables following the occurrence of an
Insolvency Event with respect to the Seller (including any Additional Seller),
as described in the accompanying Prospectus under "Description of the
Certificates--Pay Out Events," allocated to the Class A Invested Amount and the
proceeds of any collections on the Receivables in the Collection Account are
not sufficient to pay in full the remaining
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amount due on the Class A Certificates, the Class A Certificateholders will
suffer a corresponding loss and no such proceeds will be available to the Class
B Certificateholders. See "Certain Legal Aspects of the Receivables--Certain
Matters Relating to Receivership" in the accompanying Prospectus for a
discussion of the impact of Federal law on the Trustee's ability to liquidate
the Receivables.
Servicing Compensation and Payment of Expenses
The share of the Servicing Fee allocable to Series 1999-1 for any
Distribution Date (the "Monthly Servicing Fee") shall be equal to one-twelfth
of the product of (a) 2.00% (the "Servicing Fee Rate") and (b) the Adjusted
Invested Amount as of the last day of the Monthly Period preceding such
Distribution Date (the amount calculated pursuant to this clause (b) is
referred to as the "Servicing Base Amount"); provided, however, that the
Monthly Servicing Fee for the first Distribution Date (the "Initial Servicing
Fee") will be equal to the Servicing Fee accrued on the Initial Invested Amount
at the Net Servicing Fee Rate for the period from the Series Issuance Date to
but excluding the first Distribution Date. On each Distribution Date, but only
if the Bank or The Bank of New York is the Servicer, Servicer Interchange for
the related Monthly Period that is on deposit in the Collection Account shall
be withdrawn from the Collection Account and paid to the Servicer in payment of
a portion of the Monthly Servicing Fee for such Monthly Period.
The "Servicer Interchange" for any Monthly Period for which the Bank or The
Bank of New York is the Servicer will be equal to the product of (a) the
Floating Allocation Percentage for such Monthly Period and (b) the portion of
collections of Finance Charge Receivables allocated to Series 1999-1 for such
Monthly Period that is attributed to Interchange; provided, however, that
Servicer Interchange for a Monthly Period shall not exceed one-twelfth of the
product of (i) the Servicing Base Amount as of the last day of such Monthly
Period and (ii) 0.75%. In the case of any insufficiency of Servicer Interchange
on deposit in the Collection Account, a portion of the Monthly Servicing Fee
for such Monthly Period will not be paid to the extent of such insufficiency
and in no event shall the Trust, the Trustee, the Investor Certificateholders
or the Collateral Interest Holder be liable for the share of the Servicing Fee
to be paid out of Servicer Interchange.
The share of the Monthly Servicing Fee allocable to the Class A
Certificateholders (after giving effect to the distribution of any Servicer
Interchange to the Servicer) for any Distribution Date (the "Class A Servicing
Fee") shall be equal to one-twelfth of the product of (a) the Class A Floating
Percentage, (b) the Net Servicing Fee Rate and (c) the Servicing Base Amount;
provided, however, for the first Distribution Date, the Class A Servicing Fee
shall be equal to the product of the Class A Floating Percentage as of the
first Distribution Date and the Initial Servicing Fee. The "Net Servicing Fee
Rate" means (a) so long as the Bank is the Servicer, 0.75% per annum, (b) if
The Bank of New York is the Servicer, 1.25% per annum and (c) if the Bank or
The Bank of New York is not the Servicer, 2.00% per annum.
The share of the Monthly Servicing Fee allocable to the Class B
Certificateholders (after giving effect to any distribution of Servicer
Interchange to the Servicer) for any Distribution Date (the "Class B Servicing
Fee") shall be equal to one-twelfth of the product of (a) the Class B Floating
Percentage, (b) the Net Servicing Fee Rate and (c) the Servicing Base Amount;
provided, however, for the first Distribution Date, the Class B Servicing Fee
shall be equal to the product of the Class B Floating Percentage as of the
first Distribution Date and the Initial Servicing Fee.
The share of the Monthly Servicing Fee allocable to the Collateral Interest
Holder (after giving effect to the distribution of any Servicer Interchange to
the Servicer) for such Distribution Date (the "Collateral Servicing Fee") shall
be equal to one-twelfth of the product of (a) the Collateral Floating
Percentage, (b) the Net Servicing Fee Rate and (c) the Servicing Base Amount;
provided, however, for the first Distribution Date, the Collateral Servicing
Fee shall be equal to the product of the Collateral Floating Percentage as of
the first Distribution Date and the Initial Servicing Fee.
The remainder of the Servicing Fee will be paid by the Seller or the
certificateholders of other Series (as provided in the related Supplements) or,
to the extent of any insufficiency of Servicer Interchange as described
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above, not be paid and in no event shall the Trust, the Trustee, the Investor
Certificateholders or the Collateral Interest Holder be liable for the share
of the Servicing Fee to be paid by the Seller or the Certificateholders of any
other Series or to be paid out of Servicer Interchange. The Class A Servicing
Fee, the Class B Servicing Fee and the Collateral Servicing Fee shall be
payable to the Servicer solely to the extent amounts are available for
distribution in respect thereof as described under "--Application of
Collections--Payment of Interest, Fees and Other Items" above.
Series Termination
If on the Distribution Date that is two months prior to the Termination Date,
the Invested Amount (after giving effect to all changes therein on such date)
exceeds zero, the Servicer will, within the 40-day period beginning on such
date, solicit bids for the sale of interests in the Principal Receivables or
certain Principal Receivables, together in each case with the related Finance
Charge Receivables, in an amount equal to the Invested Amount at the close of
business on the last day of the Monthly Period preceding the Termination Date
(after giving effect to all distributions required to be made on the
Termination Date). The Seller will be entitled to participate in, and to
receive notice of each bid submitted in connection with, such bidding process.
Upon the expiration of such 40-day period, the Trustee will determine (a) which
bid is the highest cash purchase offer (the "Highest Bid") and (b) the amount
(the "Available Final Distribution Amount") which otherwise would be available
in the Collection Account on the Termination Date for distribution to the
Investor Certificateholders and the Collateral Interest Holder. The Servicer
will sell such Receivables on the Termination Date to the bidder who provided
the Highest Bid and will deposit the proceeds of such sale in the Collection
Account for allocation (together with the Available Final Distribution Amount)
to the Investor Certificateholders' Interest and the Collateral Interest
Holder's Interest.
Federal Income Tax Consequences
Subject to the matters discussed under "Federal Income Tax Consequences" in
the accompanying Prospectus, Tax Counsel will deliver its opinion that, under
existing law, the Investor Certificates offered hereby will properly be
characterized as debt for federal income tax purposes.
Reports
No later than the fourth business day prior to each Distribution Date, the
Servicer will forward to the Trustee, the Paying Agent and each Rating Agency a
statement (the "Monthly Report") prepared by the Servicer setting forth certain
information about the Trust, the Investor Certificates and the Collateral
Interest, including: (a) the aggregate amount of Principal Receivables and
Finance Charge Receivables in the Trust as of the end of such Monthly Period;
(b) the Class A Invested Amount, the Class B Invested Amount and the Collateral
Invested Amount at the close of business on the last day of the preceding
Monthly Period; (c) the Floating Allocation Percentage and, during the
Accumulation Period or Early Amortization Period with respect to such Series,
the Principal Allocation Percentage for the Investor Certificates and the
Collateral Interest; (d) the amount of collections of Principal Receivables and
Finance Charge Receivables processed during the related Monthly Period and the
portion thereof allocated to the Investor Certificateholders' Interest and the
Collateral Interest Holder's Interest; (e) the aggregate outstanding balance of
Accounts which were 30, 60 and 90 days or more delinquent as of the end of such
Monthly Period; (f) the Defaulted Amount for such Monthly Period and the
portion thereof allocated to the Investor Certificateholders' Interest and the
Collateral Interest Holder's Interest; (g) the amount, if any, of Class A
Investor Charge-Offs, Class B Investor Charge-Offs and the amounts by which the
Collateral Invested Amount has been reduced pursuant to clauses (iii), (iv) and
(v) of the definition of Collateral Invested Amount; (h) the Monthly Servicing
Fee; (i) the Portfolio Yield for such Monthly Period; and (j) Reallocated
Principal Collections.
Legal Matters
Certain legal matters relating to the Investor Certificates will be passed
upon for the Underwriters by Cravath, Swaine & Moore, New York, New York.
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ERISA CONSIDERATIONS
General
Subject to the considerations described below and in the Prospectus, the
Class A Certificates may be purchased by, on behalf of, or with "plan assets"
of any employee benefit or other plan that is subject to the Employee
Retirement Income Security Act of 1974, as amended ("ERISA"), or Section 4975
of the Internal Revenue Code of 1986, as amended (each, a "Plan"). Any Plan
fiduciary that proposes to cause a Plan to acquire any of the Class A
Certificates should consult with its counsel with respect to the potential
consequences under ERISA and the Code of the Plan's acquisition and ownership
of such Class A Certificates. See "ERISA Considerations" in the accompanying
Prospectus.
The Class B Certificates may not be acquired or held by, on behalf of, or
with "plan assets" of any Plan, other than an insurance company investing
assets of its general account. By its acceptance of a Class B Certificate, each
Class B Certificateholder will be deemed to have represented and warranted that
either (i) it is not and will not be a Plan or (ii) it is an insurance company,
it acquired and will hold the Class B Certificates solely with assets of its
general account, and such acquisition and holding satisfies the conditions
applicable under Sections I and III of U.S. Department of Labor ("DOL")
Prohibited Transaction Class Exemption 95-60.
The Authorization
On October 28, 1998, the DOL authorized Capital One (the "Authorization") to
rely upon the exemptive relief from certain of the prohibited transaction
provisions of ERISA and Section 4975 of the Code available under PTCE 96-62
relating to (1) the initial purchase, the holding and the subsequent resale by
Plans of Senior Certificates representing an undivided interest in a credit
card trust with respect to which Capital One is the sponsor; and (2) the
servicing, operation and management of such trust, provided that the general
conditions and certain other conditions set forth in the Authorization are
satisfied. The Authorization will apply to the acquisition, holding and resale
of the Class A Certificates by, on behalf of, or with "plan assets" of a Plan,
provided that certain conditions (certain of which are described below) are
met.
Among the conditions which must be satisfied for the Authorization to apply
are the following:
(1) The acquisition of the Class A Certificates by a Plan is on terms
(including the price for such Class A Certificates) that are at least as
favorable to the investing Plan as they would be in an arm's-length
transaction with an unrelated party;
(2) The rights and interests evidenced by the Class A Certificates
acquired by the Plan are not subordinated to the rights and interests
evidenced by other certificates of the Trust;
(3) The Class A Certificates acquired by the Plan have received a rating
at the time of such acquisition in one of the two highest generic rating
categories from a Rating Agency; provided that, notwithstanding such
rating, credit support is provided to the Class A Certificates through a
senior-subordinated structure or other form of third-party credit support
which, at a minimum, represents 5% of the outstanding principal balance of
the Class A Certificates at the time of such acquisition;
(4) The Trustee is not an affiliate of any Underwriter, the Seller, the
Servicer, any obligor whose receivables constitute more than 0.5% of the
fair market value of the aggregate undivided interest in the Trust
allocated to Series 1999-1, or any of their respective affiliates (the
"Restricted Group");
(5) The sum of all payments made to and retained by the Underwriters in
connection with the distribution of the Class A Certificates represents not
more than reasonable compensation for underwriting such Class A
Certificates; the consideration received by the Seller as a consequence of
the assignment of Receivables to the Trust, to the extent allocable to the
Class A Certificates, represents not more than the fair market value of
such Receivables; and the sum of all payments made to and retained by the
Servicer, to the extent allocable to the Class A Certificates, represents
not more than reasonable compensation for the Servicer's services under the
Pooling Agreement and reimbursement of the Servicer's reasonable expenses
in connection therewith;
S-38
<PAGE>
(6) The Plan investing in the Class A Certificates is an "accredited
investor" as defined in Rule 501(a)(1) of Regulation D of the Securities
and Exchange Commission under the Securities Act of 1933, as amended;
(7) The Trustee is a substantial financial institution or trust company
experienced in trust activities, is familiar with its duties,
responsibilities and liabilities as a fiduciary under ERISA and, as the
legal owner of (or holder of a perfected security interest in) the
Receivables, enforces all the rights created in favor of the Investor
Certificateholders, including Plans;
(8) Prior to the issuance of any new Series, confirmation is received
from the Rating Agencies that such issuance will not result in the
reduction or withdrawal of the then current rating of the Class A
Certificates held by any Plan pursuant to the Authorization;
(9) To protect against fraud, chargebacks or other dilution of the
Receivables, the Pooling Agreement and the Rating Agencies require the
Seller to maintain a Seller's Interest of not less than 2% of the principal
balance of the receivables contained in the Trust;
(10) Each Receivable is an Eligible Receivable, based on criteria of the
Rating Agencies and as specified in the Pooling Agreement, and the Pooling
Agreement requires that any change in the terms of the cardholder
agreements must be made applicable to the comparable segment of accounts
owned or serviced by Capital One which are part of the same program or have
the same or substantially similar characteristics;
(11) The Pooling Agreement limits the number of newly originated Accounts
to be designated to the Trust, unless the Rating Agencies otherwise consent
in writing, to the following: (a) with respect to any three-month period,
15% of the number of existing Accounts designated to the Trust as of the
first day of such period, and (b) with respect to any twelve-month period,
20% of the number of existing Accounts designated to the Trust as of the
first day of such twelve-month period;
(12) The Pooling Agreement requires the Seller to deliver an opinion of
counsel semi-annually confirming the validity and perfection of the
transfer of Receivables in newly originated Accounts to the Trust if such
an opinion is not delivered with respect to each interim addition; and
(13) The Pooling Agreement requires the Seller and the Trustee to receive
confirmation from each Rating Agency that such Rating Agency will not
reduce or withdraw its then current rating of the Class A Certificates as a
result of (a) a proposed transfer of Receivables in newly originated
Accounts to the Trust, or (b) the transfer of Receivables in all newly
originated Accounts added to the Trust during the preceding three-month
period (beginning at quarterly intervals specified in the Pooling Agreement
and ending in the calendar month prior to the date such confirmation is
issued); provided that a Rating Agency confirmation shall not be required
under clause (b) for any three-month period in which any additions of
Receivables in newly originated Accounts occurred only after receipt of
prior Rating Agency confirmation pursuant to clause (a).
The Seller believes that the Authorization will apply to the acquisition and
holding of the Class A Certificates by Plans and that all conditions of the
Authorization, other than those within the control of the investors, will be
met.
Any Plan fiduciary considering whether to purchase any Class A Certificates
on behalf of, or with "plan assets" of, a Plan should consult with its counsel
regarding the applicability of the fiduciary responsibility and prohibited
transaction provisions of ERISA and Section 4975 of the Code to such
investment. Among other things, before purchasing any Class A Certificates, a
Plan fiduciary should make its own determination as to the availability of the
relief provided in the Authorization and also consider the availability of any
other prohibited transaction exemptions.
S-39
<PAGE>
UNDERWRITING
Subject to the terms and conditions set forth in the underwriting agreement
for the Class A Certificates (the "Class A Underwriting Agreement") between the
Bank and the Class A underwriters named below (the "Class A Underwriters"), and
the terms and conditions set forth in the underwriting agreement for the Class
B Certificates (the "Class B Underwriting Agreement," and together with the
Class A Underwriting Agreement, the "Underwriting Agreement") between the Bank
and the Class B underwriters named below (the "Class B Underwriters," and
together with the Class A Underwriters, the "Underwriters") the Bank has agreed
to sell to the Underwriters, and each Underwriter has severally agreed to
purchase, the Class A Certificates and the Class B Certificates set forth
opposite its name below.
<TABLE>
<CAPTION>
Principal
Class A Underwriters Amount
- -------------------- ------------
<S> <C>
Salomon Smith Barney Inc. ........................................ $125,000,000
Chase Securities Inc. ............................................ 125,000,000
Credit Suisse First Boston Corporation ........................... 125,000,000
J.P. Morgan Securities Inc. ...................................... 125,000,000
------------
Total........................................................... $500,000,000
============
<CAPTION>
Principal
Class B Underwriters Amount
- -------------------- ------------
<S> <C>
Salomon Smith Barney Inc. ........................................ $ 31,250,000
Credit Suisse First Boston Corporation ........................... 31,250,000
------------
Total........................................................... $ 62,500,000
============
</TABLE>
The Underwriting Agreement provides that the obligation of the Underwriters
to pay for and accept delivery of the Investor Certificates is subject to the
approval of certain legal matters by their counsel and to certain other
conditions. All of the Investor Certificates offered hereby will be issued if
any are issued. Under the terms and conditions of the Class A Underwriting
Agreement, the Class A Underwriters are committed to take and pay for all the
Class A Certificates, if any are taken. Under the terms and conditions of the
Class B Underwriting Agreement, the Class B Underwriters are committed to take
and pay for all the Class B Certificates, if any are taken. The Underwriters
have agreed to reimburse the Seller for certain expenses of the issuance and
distribution of the Certificates.
The Class A Underwriters propose initially to offer the Class A Certificates
to the public at the price set forth on the cover page hereof and to certain
dealers at such price less concessions not in excess of 0.165% of the principal
amount of the Class A Certificates. The Class A Underwriters may allow, and
such dealers may reallow, concessions not in excess of 0.125% of the principal
amount of the Class A Certificates to certain brokers and dealers. After the
initial public offering, the public offering price of the Class A Certificates
and other selling terms may be changed by the Class A Underwriters.
The Class B Underwriters propose initially to offer the Class B Certificates
to the public at the price set forth on the cover page hereof and to certain
dealers at such price less concessions not in excess of 0.195% of the principal
amount of the Class B Certificates. The Class B Underwriters may allow, and
such dealers may reallow, concessions not in excess of 0.150% of the principal
amount of the Class B Certificates to certain brokers and dealers. After the
initial public offering, the public offering price of the Class B Certificates
and other selling terms may be changed by the Class B Underwriters.
The price to public, the Underwriters' discounts and commissions and the
proceeds to the Seller are as follows:
<TABLE>
<CAPTION>
Per Class A Per Class B
Certificate Certificate Total
----------- ----------- ------------
<S> <C> <C> <C>
Public Offering Price..................... 100% 100% $562,500,000
Underwriting Discounts and Commissions.... 0.275% 0.325% $ 1,578,125
Proceeds to Seller........................ 99.725% 99.675% $560,921,875
</TABLE>
S-40
<PAGE>
Additional offering expenses are estimated to be $700,000.
Each Underwriter has represented and agreed that:
(a) it has complied and will comply with all applicable provisions of the
Financial Services Act 1986 and the Public Offers of Securities Regulations
1995 (the "Regulations") with respect to anything done by it in relation to
the Investor Certificates in, from or otherwise involving the United
Kingdom;
(b) it has only issued or passed on and will only issue or pass on in the
United Kingdom any document received by it in connection with the issue of
the Investor Certificates to a person who is of a kind described in Article
11(3) of the Financial Services Act 1986 (Investment Advertisements)
(Exemptions) Order 1996 or are persons to whom such document may otherwise
lawfully be issued or passed on;
(c) if it is an authorized person under Chapter III of part I of the
Financial Services Act 1986, it has only promoted and will only promote (as
that term is defined in Regulation 1.02(2) of the Financial Services
(Promotion of Unregulated Schemes) Regulations 1991) to any person in the
United Kingdom the scheme described in this Prospectus Supplement and the
Prospectus if that person is of a kind described either in section 76(2) of
the Financial Services Act 1986 or in Regulation 1.04 of the Financial
Services (Promotion of Unregulated Schemes) Regulations 1991; and
(d) it is a person of a kind described in Article 11(3) of the Financial
Services Act 1986 (Investment Advertisements) (Exemptions) Order 1996.
The Underwriters may engage in over-allotment transactions, stabilizing
transactions, syndicate covering transactions and penalty bids with respect to
the Investor Certificates in accordance with Regulation M under the Exchange
Act. Over-allotment transactions involve syndicate sales in excess of the
offering size, which creates a syndicate short position. Stabilizing
transactions permit bids to purchase the Investor Certificates so long as the
stabilizing bids do not exceed a specified maximum. Syndicate covering
transactions involve purchases of the Investor Certificates in the open market
after the distribution has been completed in order to cover syndicate short
positions. Penalty bids permit the Underwriters to reclaim a selling concession
from a syndicate member when the Investor Certificates originally sold by such
syndicate member are purchased in a syndicate covering transaction. Such over-
allotment transactions, stabilization transactions, syndicate covering
transactions and penalty bids may cause the price of the Investor Certificates
to be higher than they would otherwise be in the absence of such transactions.
Neither the Bank nor the Underwriters represent that the Underwriters will
engage in any such transactions or that such transactions, once commenced, will
not be discontinued without notice at any time.
The Bank will indemnify the Underwriters against certain liabilities,
including liabilities under the Securities Act, or contribute to payments the
Underwriters may be required to make in respect thereof.
The closing of the sale of each Class of Investor Certificates is conditional
upon the closing of the sale of the other Class.
In the ordinary course of their respective businesses, the Underwriters and
their affiliates have engaged and may engage in investment banking and/or
commercial banking transactions with the Bank and its affiliates.
S-41
<PAGE>
INDEX OF TERMS FOR PROSPECTUS SUPPLEMENT
<TABLE>
<CAPTION>
Term Page
- ---- ----
<S> <C>
Accounts................................................................... S-7
Accumulation Period........................................................ S-7
Accumulation Period Length................................................. S-21
Act........................................................................ S-7
Adjusted Invested Amount................................................... S-25
Authorization.............................................................. S-38
Available Final Distribution Amount........................................ S-37
Available Investor Principal Collections................................... S-21
Available Reserve Account Amount........................................... S-26
Bank....................................................................... S-7
Base Rate.................................................................. S-35
Class A Account Percentage................................................. S-18
Class A Additional Interest................................................ S-29
Class A Adjusted Invested Amount........................................... S-24
Class A Available Funds.................................................... S-18
Class A Certificate Rate................................................... S-17
Class A Certificateholders................................................. S-7
Class A Certificateholders' Interest....................................... S-18
Class A Certificates....................................................... S-7
Class A Floating Percentage................................................ S-22
Class A Initial Invested Amount............................................ S-23
Class A Invested Amount.................................................... S-23
Class A Investor Charge-Off................................................ S-33
Class A Investor Default Amount............................................ S-32
Class A Monthly Interest................................................... S-28
Class A Monthly Principal.................................................. S-31
Class A Outstanding Monthly Interest....................................... S-29
Class A Principal Percentage............................................... S-23
Class A Required Amount.................................................... S-26
Class A Servicing Fee...................................................... S-36
Class A Underwriters....................................................... S-40
Class A Underwriting Agreement............................................. S-40
Class B Account Percentage................................................. S-18
Class B Additional Interest................................................ S-29
Class B Adjusted Invested Amount........................................... S-24
Class B Available Funds.................................................... S-18
Class B Certificate Rate................................................... S-17
Class B Certificateholders................................................. S-7
Class B Certificateholders' Interest....................................... S-18
Class B Certificates....................................................... S-7
Class B Floating Percentage................................................ S-22
Class B Initial Invested Amount............................................ S-24
Class B Invested Amount.................................................... S-24
Class B Investor Charge-Off................................................ S-33
Class B Investor Default Amount............................................ S-32
Class B Monthly Interest................................................... S-29
Class B Monthly Principal.................................................. S-31
Class B Outstanding Monthly Interest....................................... S-29
Class B Principal Percentage............................................... S-23
</TABLE>
<TABLE>
<CAPTION>
Term Page
- ---- ----
<S> <C>
Class B Required Amount.................................................... S-27
Class B Servicing Fee...................................................... S-36
Class B Underwriters....................................................... S-40
Class B Underwriting Agreement............................................. S-40
Collateral Additional Interest............................................. S-30
Collateral Adjusted Invested Amount........................................ S-24
Collateral Available Funds................................................. S-29
Collateral Floating Percentage............................................. S-22
Collateral Initial Invested Amount......................................... S-24
Collateral Interest........................................................ S-7
Collateral Interest Holder................................................. S-7
Collateral Interest Holder's Interest...................................... S-20
Collateral Invested Amount................................................. S-24
Collateral Investor Default Amount......................................... S-24
Collateral Minimum Interest Rate........................................... S-19
Collateral Minimum Monthly Interest........................................ S-30
Collateral Monthly Principal............................................... S-31
Collateral Outstanding Monthly Interest.................................... S-30
Collateral Principal Percentage............................................ S-23
Collateral Servicing Fee................................................... S-36
Controlled Accumulation Amount............................................. S-32
Controlled Deposit Amount.................................................. S-32
Covered Amount............................................................. S-25
Deficit Controlled Accumulation Amount..................................... S-32
Distribution Date.......................................................... S-17
DOL........................................................................ S-38
ERISA...................................................................... S-38
Excess Spread.............................................................. S-29
Excluded Series............................................................ S-34
Expected Final Payment Date................................................ S-7
Floating Allocation Percentage............................................. S-22
Group One.................................................................. S-7
Highest Bid................................................................ S-37
Initial Invested Amount.................................................... S-24
Initial Servicing Fee...................................................... S-36
Interest Period............................................................ S-19
Invested Amount............................................................ S-24
Investor Certificateholders................................................ S-7
Investor Certificateholders' Interest...................................... S-18
Investor Certificates...................................................... S-7
Investor Default Amount.................................................... S-32
LIBOR...................................................................... S-19
LIBOR Determination Date................................................... S-19
Monthly Report............................................................. S-37
Monthly Servicing Fee...................................................... S-36
Net Servicing Fee Rate..................................................... S-36
Paired Series.............................................................. S-33
Plan....................................................................... S-38
</TABLE>
S-42
<PAGE>
<TABLE>
<CAPTION>
Term Page
- ---- ----
<S> <C>
Pooling Agreement.......................................................... S-7
Portfolio Yield............................................................ S-35
Principal Allocation Percentage............................................ S-22
Principal Funding Account.................................................. S-8
Principal Funding Account Balance.......................................... S-25
Principal Funding Investment Proceeds...................................... S-25
Principal Shortfall........................................................ S-33
Reallocated Principal Collections.......................................... S-27
Receivables................................................................ S-7
Record Date................................................................ S-17
Reference Banks............................................................ S-19
Regulations................................................................ S-41
Required Principal Balance................................................. S-34
Required Reserve Account Amount............................................ S-25
Reserve Account............................................................ S-25
Reserve Account Factor..................................................... S-26
Reserve Account Funding Date............................................... S-25
Restricted Group........................................................... S-38
Revolving Period........................................................... S-20
Series 1999-1 Holders...................................................... S-7
</TABLE>
<TABLE>
<CAPTION>
Term Page
- ---- ----
<S> <C>
Series 1999-1 Interests.................................................... S-7
Series 1999-1 Supplement................................................... S-7
Series 1999-1 Termination Date............................................. S-7
Series Cut-Off Date........................................................ S-9
Series Issuance Date....................................................... S-10
Servicer Interchange....................................................... S-36
Servicing Base Amount...................................................... S-36
Servicing Fee Rate......................................................... S-36
Special Payment Date....................................................... S-7
Telerate Page 3750......................................................... S-19
Termination Date........................................................... S-7
Transfer Agreement......................................................... S-19
Trust...................................................................... S-7
Trust Cut-Off Date......................................................... S-9
Trust Portfolio............................................................ S-9
Trustee.................................................................... S-7
Underwriters............................................................... S-40
Underwriting Agreement..................................................... S-40
Zero Balance Accounts...................................................... S-9
</TABLE>
S-43
<PAGE>
ANNEX I
PREVIOUS ISSUANCES OF CERTIFICATES
The table below sets forth the principal characteristics of the Class A and
Class B Asset Backed Certificates of the only outstanding Series that have been
issued by the Trust prior to the date hereof. For more specific information
with respect to any Series, prospective investors should contact the Servicer
(in care of Capital One Bank, attention: Treasury Department) at (703) 205-
1000. The Servicer will provide, without charge, to any prospective purchaser
of the Investor Certificates, a copy of the Prospectus Supplement for any
previous publicly-issued Series.
1.Series 1994-3 Certificates
Initial Series 1994-3 Invested Amount...........................$452,530,818
Initial Class A Invested Amount.................................$357,500,000
Initial Class B Invested Amount..................................$40,727,000
Class A Certificate Rate...................One-month LIBOR + 0.20% per annum
Class B Certificate Rate...............................................7.35%
Class A Expected Final Payment Date................................June 1999
Class B Expected Final Payment Date..............................August 1999
Class A Controlled Accumulation Amount........................$17,875,000/1/
Class B Controlled Accumulation Amount...........................$20,363,500
Group....................................................................One
Servicing Fee Rate.....................................................2.00%
Series Termination Date.......................................September 2002
The Series 1994-3 Certificates are supported by a collateral indebtedness
interest in the receivables which on the respective Series Issuance Date had an
invested amount of $54,303,818.
2.Series 1994-A Certificates
Initial Series 1994-A Invested Amount...........................$550,000,000
Maximum Invested Amount.........................................$770,000,000
Certificate Rate...............................................Floating Rate
Group....................................................................One
Servicing Fee Rate.....................................................2.00%
Series Termination Date...........................................April 2003
3.Series 1995-1 Certificates
Initial Series 1995-1 Invested Amount...........................$900,000,000
Initial Class A Invested Amount.................................$720,000,000
Initial Class B Invested Amount..................................$81,000,000
Class A Certificate Rate...................One-month LIBOR + 0.19% per annum
Class B Certificate Rate.......................................Floating Rate
Class A Expected Final Payment Date................................June 2000
Class B Expected Final Payment Date..............................August 2000
Class A Controlled Accumulation Amount........................$36,000,000/1/
Group....................................................................One
Servicing Fee Rate.....................................................2.00%
Series Termination Date.........................................October 2003
The Series 1995-1 Certificates are supported by a collateral indebtedness
interest in the receivables which on the respective Series Issuance Date had an
invested amount of $99,000,000.
- --------
/1/Subject to change if the commencement of the Accumulation Period is delayed.
A-1
<PAGE>
4.Series 1995-3 Certificates
Initial Series 1995-3 Invested Amount.........................$1,050,000,000
Initial Class A Invested Amount.................................$840,000,000
Initial Class B Invested Amount.................................$136,500,000
Class A Certificate Rate...................One-month LIBOR + 0.15% per annum
Class B Certificate Rate.......................................Floating Rate
Class A Expected Final Payment Date..............................August 2000
Class B Expected Final Payment Date.............................October 2000
Class A Controlled Accumulation Amount........................$42,000,000/1/
Group....................................................................One
Servicing Fee Rate.....................................................2.00%
Series Termination Date........................................December 2003
The Series 1995-3 Certificates are supported by a collateral indebtedness
interest in the receivables which on the respective Series Issuance Date had an
initial invested amount of $73,500,000.
5.Series 1996-1 Certificates
Initial Series 1996-1 Invested Amount...........................$845,000,000
Initial Class A Invested Amount.................................$676,000,000
Initial Class B Invested Amount.................................$109,850,000
Class A Certificate Rate.................Three-month LIBOR + 0.12% per annum
Class B Certificate Rate.......................................Floating Rate
Class A Expected Final Payment Date..............................August 2001
Class B Expected Final Payment Date.............................October 2001
Class A Controlled Accumulation Amount........................$33,800,000/1/
Group....................................................................One
Servicing Fee Rate.....................................................2.00%
Series Termination Date.........................................October 2004
The Series 1996-1 Certificates are supported by a collateral indebtedness
interest in the receivables which on the respective Series Issuance Date had an
initial invested amount of $59,150,000.
6.Series 1996-2 Certificates
Initial Series 1996-2 Invested Amount...........................$750,000,000
Initial Class A Invested Amount.................................$600,000,000
Initial Class B Invested Amount..................................$82,500,000
Class A Certificate Rate...................One-month LIBOR + 0.10% per annum
Class B Certificate Rate.......................................Floating Rate
Class A Expected Final Payment Date............................December 2001
Class B Expected Final Payment Date............................February 2002
Class A Controlled Accumulation Amount........................$30,000,000/1/
Group....................................................................One
Servicing Fee Rate.....................................................2.00%
Series Termination Date........................................February 2005
The Series 1996-2 Certificates are supported by a collateral indebtedness
interest in the receivables which on the respective Series Issuance Date had an
initial invested amount of $67,500,000.
- --------
/1/Subject to change if the commencement of the Accumulation Period is delayed.
A-2
<PAGE>
7.Series 1996-3 Certificates
Initial Series 1996-3 Invested Amount...........................$500,000,000
Initial Class A Invested Amount.................................$400,000,000
Initial Class B Invested I Amount................................$55,000,000
Class A Certificate Rate...................One-month LIBOR + 0.12% per annum
Class B Certificate Rate.......................................Floating Rate
Class A Expected Final Payment Date.............................January 2004
Class B Expected Final Payment Date...............................March 2004
Class A Controlled Accumulation Amount........................$20,000,000/1/
Group....................................................................One
Servicing Fee Rate.....................................................2.00%
Series Termination Date...........................................March 2007
The Series 1996-3 Certificates are supported by a collateral indebtedness
interest in the receivables which on the respective Series Issuance Date had an
initial invested amount of $45,000,000.
8.Series 1997-1 Certificates
Initial Series 1997-1 Invested Amount...........................$608,275,000
Initial Class A Invested Amount.................................$486,620,000
Initial Class B Invested Amount..................................$66,910,250
Class A Certificate Rate.................Three-month LIBOR - 0.03% per annum
Class B Certificate Rate.......................................Floating Rate
Class A Expected Final Payment Date................................June 2002
Class B Expected Final Payment Date..............................August 2002
Class A Controlled Accumulation Amount........................$24,331,000/1/
Group....................................................................One
Servicing Fee Rate.....................................................2.00%
Series Termination Date............................................June 2007
The Series 1997-1 Certificates are supported by a collateral indebtedness
interest in the receivables which on the respective Series Issuance Date had an
initial invested amount of $54,744,750.
9.Series 1997-2 Certificates
Initial Series 1997-2 Invested Amount...........................$502,212,500
Initial Class A Invested Amount.................................$401,770,000
Initial Class B Invested Amount..................................$55,243,375
Initial Class C Invested Amount..................................$45,199,125
Class A Certificate Rate................Three-month LIBOR + 0.049% per annum
Class B Certificate Rate.......................................Floating Rate
Class A Expected Final Payment Date..............................August 2002
Class B Expected Final Payment Date.............................October 2002
Class A Controlled Accumulation Amount........................$20,088,500/1/
Group....................................................................One
Servicing Fee Rate.....................................................2.00%
Series Termination Date.........................................October 2005
- --------
/1/Subject to change if the commencement of the Accumulation Period is delayed.
A-3
<PAGE>
10.Series 1998-1 Certificates
Initial Series 1998-1 Invested Amount...........................$591,016,549
Initial Class A Invested Amount.................................$500,000,000
Initial Class B Invested Amount..................................$50,236,407
Initial Class C Invested Amount..................................$40,780,142
Class A Certificate Rate..............................................6.310%
Class B Certificate Rate..............................................6.356%
Class A Expected Final Payment Date...............................April 2008
Class B Expected Final Payment Date................................June 2008
Class A Controlled Accumulation Amount........................$25,000,000/1/
Group....................................................................One
Servicing Fee Rate.....................................................2.00%
Series Termination Date............................................June 2011
11.Series 1998-2 Certificates
Initial Series 1998-2 Invested Amount...........................$501,638,814
Initial Class A Invested Amount.................................$410,000,000
Initial Class B Invested Amount..................................$55,270,000
Initial Class C Invested Amount..................................$36,368,814
Class A Certificate Rate..............................................7.625%
Class B Certificate Rate.......................................Floating Rate
Class A Expected Final Payment Date..............................August 1999
Class B Expected Final Payment Date.............................October 1999
Class A Controlled Accumulation Amount........................$41,000,000/1/
Group....................................................................One
Servicing Fee Rate.....................................................2.00%
Series Termination Date.........................................October 2000
12.Series 1998-3 Certificates
Initial Series 1998-3 Invested Amount...........................$486,472,629
Initial Class A Invested Amount.................................$410,000,000
Initial Class B Invested Amount..................................$38,771,000
Initial Class C Invested Amount..................................$37,701,629
Class A Certificate Rate...............................................7.25%
Class B Certificate Rate.......................................Floating Rate
Class A Expected Final Payment Date..............................August 2001
Class B Expected Final Payment Date.............................October 2001
Class A Controlled Accumulation Amount........................$20,500,000/1/
Group....................................................................One
Servicing Fee Rate.....................................................2.00%
Series Termination Date.........................................October 2004
- --------
/1/Subject to change if the commencement of the Accumulation Period is delayed.
A-4
<PAGE>
13.Series 1998-4 Certificates
Initial Series 1998-4 Invested Amount...........................$750,000,000
Initial Class A Invested Amount..................................631,875,000
Initial Class B Invested Amount...................................60,000,000
Initial Class C Invested Amount...................................58,125,000
Class A Certificate Rate...............................................5.43%
Class B Certificate Rate.......................................Floating Rate
Class A Expected Final Payment Date............................November 2003
Class B Expected Final Payment Date.............................January 2004
Class A Controlled Accumulation...............................$31,593,750/1/
Group....................................................................One
Servicing Fee Rate.....................................................2.00%
Series Termination Date.........................................January 2007
14.Series 1998-5 Certificates
Initial Series 1998-5 Invested Amount.....................................$0
Maximum Invested Amount.........................................$531,000,000
Certificate Rate...............................................Floating Rate
Group....................................................................One
Series Termiantion Date...........................................March 2007
15.Series 1998-6 Certificates
Initial Series 1998-6 Invested Amount.....................................$0
Maximum Invested Amount.........................................$750,000,000
Certificate Rate...............................................Floating Rate
Group....................................................................One
Series Termiantion Date........................................February 2005
A-5
<PAGE>
[LOGO OF CAPITAL ONE APPEARS HERE]
Capital One Master Trust
Issuer
Capital One Bank
Seller and Servicer
$500,000,000 Class A Floating Rate
Asset Backed Certificates
$62,500,000 Class B Floating Rate
Asset Backed Certificates
SERIES 1999-1
----------------
PROSPECTUS SUPPLEMENT
Dated May 11, 1999
----------------
Underwriters of the Class A certificates
Salomon Smith Barney
Chase Securities Inc.
Credit Suisse First Boston
J.P. Morgan & Co.
Underwriters of the Class B certificates
Salomon Smith Barney
Credit Suisse First Boston
You should rely only on the information contained or
incorporated by reference in this prospectus supplement and
the accompanying prospectus. We have not authorized anyone to
provide you with different information.
We are not offering the Class A certificates and Class B
certificates in any state where the offer is not permitted.
Dealers will deliver a prospectus supplement and prospectus
when acting as underwriters of the Class A certificates and
Class B certificates and with respect to their unsold
allotments or subscriptions. In addition, all dealers selling
the Class A certificates and Class B certificates will deliver
a prospectus supplement and prospectus until August 9, 1999.
