<PAGE>
Prospectus Supplement to Prospectus Dated August 16, 2000
[LOGO OF CAPITAL ONE]
Capital One Master Trust
Issuer
Capital One Bank
Seller and Servicer
$807,500,000 Class A Floating Rate Asset Backed Certificates, Series 2000-3
$92,500,000 Class B Floating Rate Asset Backed Certificates, Series 2000-3
<TABLE>
<CAPTION>
------------------------ Class A Class B
You should certificates certificates
consider ------------ ------------
carefully the <S> <C> <C>
risk factors Principal amount $807,500,000 $92,500,000
beginning on Certificate rate One-month LIBOR One-month LIBOR
page S-6 in this plus 0.19% per year plus 0.51% per year
prospectus Interest paid Monthly, beginning Monthly, beginning
supplement and September 15, 2000 September 15, 2000
on page 6 in the Expected final
prospectus. payment date August 15, 2007 August 15, 2007
Legal final
A certificate is maturity October 15, 2010 October 15, 2010
not a deposit Price to public
and neither the per certificate 100.000% 100.000%
certificates nor Underwriting
the underlying discount
accounts or per certificate 0.325% 0.375%
receivables are Proceeds to
insured or seller per
guaranteed by certificate 99.675% 99.625%
the Federal
Deposit The total price to public is $900,000,000, the total
Insurance amount of the underwriting discount is $2,971,250 and
Corporation or the total amount of proceeds plus accrued interest and
any other before deduction of expenses is $897,028,750.
government
agency. Credit Enhancement--
The certificates . The Class B certificates are subordinated to the Class
will represent A certificates. Subordination of the Class B
interests in the certificates provides credit enhancement for the Class
trust only, not A certificates.
interests in or
obligations of . The trust also is issuing a collateral interest that
Capital One Bank is subordinated to both the Class A certificates and
or any of its the Class B certificates. Subordination of the
affiliates. collateral interest provides credit enhancement for
both the Class A certificates and the Class B
This prospectus certificates.
supplement may
be used to offer
and sell the
certificates
only if
accompanied by
the prospectus.
------------------------
</TABLE>
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
Banc One Capital Markets, Inc.
Chase Securities Inc.
Deutsche Banc Alex. Brown
Underwriters of the Class B certificates
Salomon Smith Barney Deutsche Banc Alex. Brown
August 17, 2000
<PAGE>
Important Notice about Information Presented in this
Prospectus Supplement and the Accompanying Prospectus
We provide information to you about the certificates in two separate
documents: (a) the accompanying prospectus, which provides general information,
some of which may not apply to your certificates and (b) this prospectus
supplement, which describes the specific terms of your certificates.
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 table of contents in this prospectus
supplement and the table of contents in the accompanying prospectus provide the
pages on which these captions are located.
Parts of this prospectus supplement and the accompanying prospectus use
defined terms. You can find these terms and their definitions under the caption
"Glossary of Defined Terms" beginning on page S-28 in this prospectus
supplement and on page 67 in the accompanying prospectus. To assist you in
understanding this prospectus supplement and the accompanying prospectus, the
terms that are defined in the "Glossary of Defined Terms" in this prospectus
supplement and in the accompanying prospectus appear in bold typeface the first
time they appear in each section and subsection, beginning on page S-7 in this
prospectus supplement and page 14 in the accompanying prospectus.
----------------
<PAGE>
Transaction Summary
<TABLE>
<S> <C>
Trust and Issuer: Capital One Master Trust
Seller: Capital One Bank
Servicer: Capital One Bank
Trustee: The Bank of New York
Series Issuance Date: August 24, 2000
Servicing Fee Rate: 2.0% per year
Clearance and Settlement: DTC/Clearstream/Euroclear
Receivables originated in MasterCard(R) and
Primary Trust Assets: VISA(R)* accounts
</TABLE>
<TABLE>
<CAPTION>
Class A Class B
------- -------
<S> <C> <C>
Principal Amount: $807,500,000 $92,500,000
Percentage of Series:** 80.75% 9.25%
Anticipated Ratings Aaa/AAA/AAA A2/A/A
(Moody's/Standard &
Poor's/Fitch):***
Credit Enhancement: subordination of Class B and subordination of collateral interest
collateral interest
Certificate Rate: one-month LIBOR plus one-month LIBOR plus
0.19% per year 0.51% per year
Interest Accrual Method: actual/360 actual/360
Distribution Dates: monthly (15th) monthly (15th)
First Distribution Date: September 15, 2000 September 15, 2000
Certificate Rate Index 2 London business days before 2 London business days before
Reset Date: each distribution date each distribution date
Commencement of December 1, 2005 December 1, 2005
Accumulation
Period (subject
to adjustment):
Expected Final Payment August 15, 2007 August 15, 2007
Date:
Legal Final Maturity: October 15, 2010 October 15, 2010
ERISA eligibility Yes, subject to important No, except in limited circumstances
(investors considerations described under described in "ERISA Considerations" in
should consult "ERISA Considerations" in this this prospectus supplement.
with their prospectus supplement and the
counsel): accompanying prospectus.
Debt for United Yes, subject to important Yes, subject to important
States Federal considerations described under considerations described under
Income Tax Purposes "Federal Income Tax "Federal Income Tax
(investors should Consequences" in the - Consequences" in the
consult with accompanying prospectus. accompanying prospectus.
their tax counsel):
</TABLE>
--------
* MasterCard(R) and VISA(R) are federally registered servicemarks of
MasterCard International Incorporated and VISA U.S.A., Inc., respectively.
** The percentage of Series 2000-3 comprised by the collateral interest is
10.0%.
*** It is a condition to issuance of the Series 2000-3 certificates that one of
these ratings be obtained.
<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-4
Tax Status............................................................... S-4
ERISA Considerations..................................................... S-5
Certificate Ratings...................................................... S-5
Exchange Listing......................................................... S-5
Risk Factors.............................................................. S-6
The credit enhancement may be insufficient to ensure expected payments on
the certificates........................................................ S-6
Trust assets may be diverted from the Class B certificates to make
payments on the Class A certificates.................................... S-6
Introduction.............................................................. S-7
Maturity Considerations................................................... S-7
Use of Proceeds........................................................... S-10
The Bank.................................................................. S-10
Series Provisions......................................................... S-10
Interest Payments........................................................ S-10
</TABLE>
<TABLE>
<CAPTION>
Page
----
<S> <C>
Principal Payments........................................................ S-11
Revolving Period......................................................... S-11
Accumulation Period...................................................... S-11
Early Amortization Period................................................ S-12
Postponement of the Accumulation Period................................... S-12
Subordination............................................................. S-13
Allocation Percentages.................................................... S-13
Principal Funding Account................................................. S-14
Reserve Account........................................................... S-14
Reallocation of Cash Flows................................................ S-15
Class A Required Amount.................................................. S-15
Class B Required Amount.................................................. S-16
Application of Collections................................................ S-16
Payment of Interest, Fees and Other Items................................ S-16
Excess Spread; Excess Finance Charges.................................... S-17
Payments of Principal.................................................... S-18
Defaulted Receivables; Investor Charge-Offs............................... S-19
Class A Investor Charge-Offs............................................. S-19
Class B Investor Charge-Offs............................................. S-20
Shared Principal Collections.............................................. S-20
Paired Series............................................................. S-20
Required Principal Balance; Addition of Accounts.......................... S-21
Pay Out Events............................................................ S-21
Servicing Compensation and Payment of Expenses............................ S-22
Series Termination........................................................ S-23
Reports................................................................... S-24
Legal Matters............................................................. S-24
ERISA Considerations....................................................... S-25
General................................................................... S-25
The Authorization......................................................... S-25
Underwriting............................................................... S-26
Glossary of Defined Terms.................................................. S-28
Annex I: Previous Issuances of Certificates................................ I-1
Annex II: The Bank Portfolio and the Receivables........................... II-1
</TABLE>
i
<PAGE>
Summary of Terms
This summary highlights selected information and does not contain all of the
information that you need to make 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 accompanying 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, read
carefully 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, Glen Allen, Virginia 23060 and its
telephone number is (804) 967-1000.
Offered Securities
Certificates
Capital One Master Trust is offering:
. $807,500,000 of Class A certificates; and
. $92,500,000 of Class B certificates.
In this document, references to certificates include both Class A and Class B.
Only the Class A certificates 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 series issuance date for the certificates is expected to be August 24,
2000.
Distribution Dates
Distribution dates for the certificates will be September 15, 2000 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 0.19% per year.
The Class B certificates will bear interest at one-month LIBOR as determined
each month plus 0.51% per year.
Interest for the Class A certificates and Class B certificates will be
calculated as follows:
<TABLE>
<S> <C> <C> <C> <C>
Number of days in
Principal amount X interest period X Rate for
at end of prior month ----------------- interest period
360
</TABLE>
You may obtain the interest rates for the current interest period and the
immediately preceding interest period by telephoning the trustee at
(212) 815-5371.
Principal
Principal of the certificates is expected to be paid in full on the August 2007
distribution date. We are scheduled to begin accumulating collections of
principal receivables for payment to the certificateholders starting on
December 1, 2005, but we may begin accumulating at a later date. No principal
will be paid to the Class B certificateholders until the Class A
certificateholders are paid in full.
S-1
<PAGE>
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 October 15, 2010,
whichever occurs first. October 15, 2010 is the legal final maturity date.
See "Maturity Considerations," "Series Provisions--Allocation Percentages" and
"--Principal Payments" in this prospectus supplement.
Collateral Interest
At the same time 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 $100,000,000, which represents 10.0% of the
initial aggregate principal amount of the certificates plus the collateral
interest.
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 in this prospectus supplement. Annex I is
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 August 4, 2000:
. Receivables in the trust: $13,175,579,504
. Accounts designated to the trust: 11,156,789
See "Annex II: The Bank Portfolio and the Receivables" in this prospectus
supplement.
--------
/1/MasterCard(R) and VISA(R) are federally registered servicemarks of
MasterCard International Incorporated 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.
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 2000-3 will be $1,000,000,000.
Among Classes
Amounts allocated to your series will be further allocated among the Class A
certificates, the Class B certificates and 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, plus
(b) the Class B invested amount, plus
(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, the monthly servicing fee
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; and
. 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
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 December 1, 2005, but may
begin at a later date. During the accumulation period, principal collections
will 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 2000-3 or to all
series occurs, the early amortization period will begin. During the early
amortization period, principal collections will 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 seller or deposited in the excess funding
account.
Pay Out Events
Upon the occurrence of certain adverse events called pay out events, each month
the trust will use collections of principal receivables allocated to Series
2000-3 to pay principal. See "Series Provisions--Pay Out Events" in this
prospectus supplement for a description of the pay out events that apply
specifically to Series 2000-3, and "Description of the Certificates--Pay Out
Events" in the accompanying prospectus for a description of the pay out events
that apply to all series.
Optional Repurchase
The bank has the option to repurchase your certificates when the invested
amount for your series has been reduced to 5% or less of the initial invested
amount. See "Risk Factors" 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 Clearstream Banking, 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.
S-4
<PAGE>
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--The credit
ratings of your certificates are limited" 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 there is 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 "Risk Factors" in the accompanying prospectus and the
risk factors discussed below before deciding whether to purchase any of the
certificates.
The credit enhancement may
be insufficient to ensure
expected payments on the
certificates. The credit enhancement for your certificates is
limited. Credit enhancement is provided (i) for
the Class A certificates, through the
subordination of the Class B certificates and
the collateral interest, and (ii) for the Class
B certificates, through the subordination of
the collateral interest. 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.
Trust assets may be diverted
from the Class B
certificates to make
payments on the Class A
certificates. 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 the 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 2000-3, 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 certificates offered by this prospectus supplement
and the accompanying prospectus. The certificates will be issued by the trust
pursuant to a pooling and servicing agreement, dated as of September 30, 1993,
originally between a predecessor in interest to the bank, as seller and
servicer, and The Bank of New York, as trustee. The pooling and servicing
agreement has been and may be amended from time to time and is referred to in
this prospectus supplement and the accompanying prospectus as the pooling
agreement.
Series 2000-3 is included in a group of series designated as group one.
"Annex I: Previous Issuances of Certificates" in this prospectus supplement
contains a list of each currently outstanding series in group one. Other series
in the future may be included in group one. Annex I is incorporated by
reference into this prospectus supplement.
The property of the trust includes receivables generated from time to time in
a portfolio of consumer revolving credit card accounts and other consumer
revolving accounts, collections thereon and certain other property. A
description of the bank portfolio and the trust portfolio is provided in Annex
II. Annex II is incorporated by reference into this prospectus supplement.
Pursuant to the pooling agreement as supplemented by the Series 2000-3
supplement, the trust is issuing $807,500,000 of Class A certificates and
$92,500,000 of Class B certificates as a part of Series 2000-3. The
$100,000,000 of collateral interest (which is not offered by this prospectus
supplement and the accompanying prospectus) is also a part of Series 2000-3.
The Class A certificates, the Class B certificates and the collateral interest
represent interests in the assets of the trust.
To assist you in understanding this prospectus supplement and the
accompanying prospectus, the terms that are defined in the "Glossary of Defined
Terms" appear in bold typeface the first time they appear in each section and
subsection.
Maturity Considerations
The Class A certificateholders, the Class B certificateholders and the
collateral interest holder are expected to receive payment of principal in full
on the expected final payment date or earlier if a pay out event occurs.
The likelihood that Class A certificateholders, Class B certificateholders
and the collateral interest holder will 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 changes in any terms and
conditions of the account. See the "Accountholder Monthly Payment Rates for the
Bank Portfolio" table under "Annex II: The Bank Portfolio and the Receivables"
in this prospectus supplement.
During the revolving period, no payments of principal will be made to the
Class A certificateholders, the Class B certificateholders or the collateral
interest holder, and collections of principal receivables allocable to the
invested amount will generally be treated as shared principal collections,
subject to certain limitations described in "Description of Series Provisions--
Principal Payments--Revolving Period" in this prospectus supplement.
On each distribution date during 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, and
(c) the adjusted invested amount
will be deposited in the principal funding account until the amount on deposit
in the principal funding account equals the invested amount or, if earlier, the
expected final payment date.
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<PAGE>
Unless a pay out event with respect to Series 2000-3 occurs, amounts on
deposit in the principal funding account will be used to make payments of
principal on the expected final payment date:
.first to the Class A certificateholders (until the Class A invested amount
is paid in full),
.then to the Class B certificateholders (until the Class B invested amount
is paid in full), and
.finally to the collateral interest holder (until the collateral invested
amount is paid in full).
See "Series Provisions--Postponement of the Accumulation Period" 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 2000-
3 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 2000-3.
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 2000-3), 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 Series 2000-3 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 2000-3 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
Series 2000-3, the principal allocation percentage could be reduced and the
final payment of principal to the Class A certificateholders, the Class B
certificateholders and the collateral interest holder could be delayed.
Should a pay out event occur with respect to Series 2000-3 (including the
failure to pay the invested amount on the expected final payment date), the
early amortization period will begin, and 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, available investor principal
collections will be paid to the Class A certificateholders on each special
payment date until the earliest of:
.the date on which the Class A invested amount has been paid in full,
.the Series 2000-3 termination date, or
.the trust termination date.
After the Class A invested amount has been paid in full, available investor
principal collections will be paid to the Class B certificateholders on each
special payment date until the earliest of:
.the date on which the Class B invested amount has been paid in full,
.the Series 2000-3 termination date, or
.the trust termination date.
After the Class B invested amount has been paid in full, available investor
principal collections will be paid to the collateral interest holder on each
special payment date until the earliest of:
.the date on which the collateral invested amount has been paid in full,
.the Series 2000-3 termination date, or
.the trust termination date.
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Additionally, should a pay out event occur with respect to Series 2000-3 and
the early amortization period begin, 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 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 Series 2000-3 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. 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. See "Risk Factors" and
"Description of the Certificates--Shared Principal Collections; Excess Shared
Principal Collections" in the accompanying prospectus.
There can be no assurance that collections of principal receivables with
respect to the trust portfolio, and thus the rate at which the Class A
certificateholders, the Class B certificateholders and the collateral interest
holder 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 "Annex II: The Bank Portfolio and the Receivables" in
this prospectus supplement. As described under "Series Provisions--Principal
Payments" in this prospectus supplement, 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 issued nineteen series which are currently
outstanding, and may issue additional series from time to time. 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 the Class A certificateholders, the
Class B certificateholders and the collateral interest holder. 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
"Annex II: The Bank Portfolio and the Receivables" 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" in the accompanying prospectus.
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Use of Proceeds
The net proceeds from the sale of the Class A certificates and the Class B
certificates will be paid to the bank. The bank will use such proceeds for
general corporate purposes.
The Bank
At June 30, 2000, the bank had assets of approximately $10.7 billion and
stockholder's equity of approximately $985 million. For a more detailed
description of the bank, see "The Bank" in the accompanying prospectus.
Series Provisions
The Class A certificates, the Class B certificates and the collateral
interest will be issued pursuant to the pooling agreement and the Series 2000-3
supplement. The following summary describes certain terms applicable to the
Class A certificates and the Class B certificates. Reference should be made to
the accompanying prospectus for additional information concerning the Class A
certificates, the Class B certificates and the pooling agreement.
Interest Payments
The Class A certificates will accrue interest at a rate of 0.19% per year
above LIBOR prevailing on the related LIBOR determination date with respect to
the related interest period.
The Class B certificates will accrue interest at a rate of 0.51% per year
above LIBOR prevailing on the related LIBOR determination date with respect to
the related interest period.
Interest will be paid on each distribution date. 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.
Because the Class A certificate rate and the Class B certificate rate are
floating rates, interest for any distribution date 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 first distribution date, from and
including the series issuance date) to but excluding such distribution date and
a 360-day year.
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. However, interest on
the Class A certificates for the first distribution date will be calculated on
the initial Class A principal balance. 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. Interest payments to the Class A certificateholders on any
distribution date will be funded from Class A available funds for the related
monthly period. To the extent Class A available funds allocated to the Class A
certificates for such monthly period are insufficient to pay such interest,
excess spread and excess finance charges allocated to Series 2000-3 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.
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. However, interest on
the Class B certificates for the first distribution date will be calculated on
the initial Class B principal balance. 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. Interest payments to the Class B certificateholders on any
distribution date will be funded
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from Class B available funds for the related monthly period. To the extent
Class B available funds allocated to the Class B certificates for such monthly
period are insufficient to pay such interest, excess spread and excess finance
charges allocated to Series 2000-3 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.
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 based upon the
collateral interest minimum rate. However, interest on the collateral interest
for the first distribution date will be calculated on the initial collateral
interest principal balance. The collateral interest minimum rate is a fixed
rate, so interest will be calculated 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. Minimum interest payments to
the collateral interest holder on any distribution date will be funded from
excess spread and excess finance charges allocated to Series 2000-3 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.
Principal Payments
Revolving Period
Series 2000-3 will have a revolving period when the trust will not pay or
accumulate principal for the Class A certificates, the Class B certificates or
the collateral interest. The revolving period starts on the series issuance
date and ends on the earlier to begin of:
. the accumulation period, or
. the early amortization period.
During the revolving period, collections of principal receivables allocable
to the invested amount 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 back 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.
Accumulation Period
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 for such distribution date,
(b) the applicable controlled deposit amount, and
(c) the adjusted invested amount prior to any deposits on that date,
until the aggregate amount on deposit in the principal funding account equals
the invested amount.
Unless a pay out event with respect to Series 2000-3 has occurred, 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) on the expected final payment date,
. 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) on the expected final payment date, and
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. lastly 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)
on the expected final payment date.
During the accumulation period, the portion of available investor principal
collections not applied to Class A monthly principal, Class B monthly principal
and collateral monthly principal 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 back 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.
If funds on deposit in the principal funding account are insufficient to pay
in full the invested amount on the expected final payment date, the early
amortization period will begin.
Early Amortization Period
If a pay out event with respect to Series 2000-3 occurs, 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:
. first 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
. lastly to the collateral interest holder (up to the collateral
invested amount).
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 such special payment date in an amount up to the
Class A invested amount until the earliest of:
. the date the Class A invested amount is paid in full,
. the Series 2000-3 termination date, and
. 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:
. the date the Class B invested amount is paid in full,
. the Series 2000-3 termination date, and
. 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:
. the date the collateral invested amount is paid in full,
. the Series 2000-3 termination date, and
. the trust termination date.
Postponement of the Accumulation Period
The accumulation period is scheduled to begin at the close of business on the
last day of the November 2005 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
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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 2000-3
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 Class A certificateholders,
the Class B certificateholders and the collateral interest holder would receive
some of their principal later than if the accumulation period had not been
delayed.
Subordination
The Class B certificates and the collateral interest will be subordinated to
the extent necessary to fund certain payments with respect to the Class A
certificates. In addition, the collateral 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 reduced. Similarly, certain principal payments
allocable to the collateral interest may be 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 all collections
of finance charge receivables and principal receivables and the default amount
for such monthly period among the Class A certificates, the Class B
certificates, the collateral interest, the certificateholders' interest for all
other outstanding series of certificates and the seller's interest.
Collections of finance charge receivables and the defaulted amount for any
monthly period will be allocated to Series 2000-3 based on the floating
allocation percentage. 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.
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<PAGE>
Collections of principal receivables will be allocated to Series 2000-3 based
on the principal allocation percentage. Such amounts so allocated to Series
2000-3 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.
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 Class A certificateholders, the Class B
certificateholders and the collateral interest holder. During the accumulation
period, the servicer will transfer collections of principal receivables, shared
principal collections allocated to Series 2000-3, miscellaneous payments
allocated to Series 2000-3 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 under "--Application of
Collections" in this prospectus supplement.
Unless a pay out event has occurred with respect to Series 2000-3, all
amounts on deposit in the principal funding account 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
mature on or before 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 losses and investment
expenses) earned on such investments 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, for any such
distribution date, these amounts 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 under "--Reserve Account" in this
prospectus supplement. 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.
Reserve Account
The servicer will establish and maintain in the name of the trustee, on
behalf of the trust, the reserve account as an eligible deposit account for the
benefit of the Class A certificateholders, the Class B certificateholders and
the collateral interest holder. 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 funding of the reserve account
begins, 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 2000-3 (to the extent described
under "--Application of Collections--Payment of Interest, Fees and Other Items"
in this prospectus supplement) 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 will be funded no later than one month prior to
the commencement of the accumulation period, or such earlier date as the
servicer may designate.
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.
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 mature on or before the
following distribution date by the trustee at the direction of the servicer in
eligible investments. The interest and other investment income (net of losses
and investment expenses) 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.
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On or before each distribution date during 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 2000-3 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:
(i) the investment earnings (net of losses and investment expenses),
if any, in the principal funding account for the related
distribution date, and
(ii) excess spread and excess finance charges allocated to Series
2000-3 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 will equal the
available reserve account amount.
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 2000-3 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 Class A certificateholders and the Class B certificateholders.
Reallocation of Cash Flows
Class A Required Amount
On each determination date, the servicer will calculate the Class A required
amount. If the Class A required amount is greater than zero, the following
reallocations will occur:
. excess spread and excess finance charges allocated to Series 2000-3 and
available for such purpose will be used to fund the Class A required
amount for the related distribution date;
. if such excess spread and excess finance charges are insufficient to
fund the Class A required amount, reallocated principal collections
allocable first to the collateral interest and then to the Class B
certificates will be used to fund the remaining Class A required amount;
and
. if reallocated principal collections for the related monthly period,
together with excess spread and excess finance charges allocated to
Series 2000-3 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 related 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).
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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" in this
prospectus supplement.
Reductions of the Class A invested amount or Class B invested amount shall
thereafter be reimbursed and the Class A invested amount or Class B invested
amount shall be increased on each distribution date by the amount, if any, of
excess spread and excess finance charges allocated to Series 2000-3 and
available to reimburse such reductions. See "--Application of Collections--
Excess Spread; Excess Finance Charges" in this prospectus supplement. When such
reductions of the Class A invested amount 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.
Class B Required Amount
On each determination date, the servicer will calculate the Class B required
amount. If the Class B required amount is greater than zero, the following
reallocations will occur:
. excess spread and excess finance charges allocated to Series 2000-3 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 the related 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;
and
. 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 related 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 B investor default amount for such
distribution date over the amount of such reduction of the collateral invested
amount). Any such reduction may have the effect of slowing or reducing the
return of principal and interest to the Class B certificateholders. In such
case, 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" in this prospectus supplement.
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" in this prospectus
supplement) on deposit in the collection account in the following priority:
(a) An amount equal to the Class A available funds 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
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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" in this prospectus supplement.
(b) An amount equal to the Class B available funds 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
distributed 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" in this prospectus supplement.
(c) An amount equal to the collateral available funds 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" in this prospectus supplement.
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 2000-3 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 the Class A required amount, and if
the Class A required amount for such distribution date exceeds the amount
of excess spread and excess finance charges allocated to Series 2000-3,
such excess spread and excess finance charges will be applied:
. first to pay shortfalls in the payment of amounts described in
clause (a)(i) under "--Payment of Interest, Fees and Other Items" in
this prospectus supplement,
. second to pay shortfalls in the payment of amounts described in
clause (a)(ii) under "--Payment of Interest, Fees and Other Items"
in this prospectus supplement, and
. third to pay shortfalls in the payment of amounts described in
clause (a)(iii) under "--Payment of Interest, Fees and Other Items"
in this prospectus supplement;
(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" in this prospectus supplement;
S-17
<PAGE>
(c) an amount equal to the Class B required amount, if any, for such
distribution date will be (i) used to fund the Class B required amount 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 if the Class B required amount for such distribution date
exceeds the amount of excess spread and excess finance charges allocated to
Series 2000-3, such excess spread and excess finance charges will be
applied:
. first to pay amounts described in clause (b)(i) under "--Payment of
Interest, Fees and Other Items" in this prospectus supplement,
. second to pay amounts described in clause (b)(ii) above under "--
Payment of Interest, Fees and Other Items" in this prospectus
supplement, and
. third, up to the Class B investor default amount, as a portion of
available investor principal collections for such distribution date;
(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 (but not in excess of the aggregate
amount of such reductions that have not been previously reimbursed) will be
treated as a portion of available investor principal collections for such
distribution date;
(e) an amount equal to the sum of the following will be distributed to
the collateral interest holder:
(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;
(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 will be
paid to the servicer;
(g) an amount equal to the collateral investor default amount will 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 (but not in excess of the
aggregate amount of such reductions that have not been previously
reimbursed) shall be treated as a portion of available investor principal
collections for such distribution date;
(i) on each distribution date on and after the reserve account is funded,
but prior to the date on which the reserve account terminates as described
under "--Reserve Account" in this prospectus supplement, an amount up to
the excess, if any, of the required reserve account amount over the
available reserve account amount will be deposited into the reserve
account; and
(j) the balance, if any, will be distributed to the collateral interest
holder.
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" in this prospectus supplement) 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
S-18
<PAGE>
funding account or, if such distribution date is a special
payment date on which the aggregate amount on deposit in the
principal funding account is zero, will 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
aggregate amount on deposit in the principal funding account 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 aggregate amount on deposit in the principal
funding account 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.
Defaulted Receivables; Investor Charge-Offs
On each determination date, the servicer will calculate the investor default
amount for the preceding monthly period. On each distribution date, portions of
the investor default amount will be allocated to the Class A certificates and
the Class B certificates in amounts equaling the Class A investor default
amount and the Class B investor default amount, respectively. 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
2000-3 or from reallocated principal collections and applied as described in
"--Application of Collections--Payment of Interest, Fees and Other Items" and
"--Reallocation of Cash Flows" in this prospectus supplement. The Class B
investor default amount for each monthly period will be paid from excess spread
and excess finance charges allocated to Series 2000-3 or from reallocated
principal collections allocable to the collateral interest and applied as
described in "--Application of Collections--Excess Spread; Excess Finance
Charges" and "--Reallocation of Cash Flows" in this prospectus supplement.
Class A Investor Charge-Offs
On each distribution date, if the Class A required amount for such
distribution date exceeds the sum of excess spread and excess finance charges
allocated to Series 2000-3 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, called a Class A
investor charge-off, 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. Such Class A investor
charge-off 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 2000-3 and available for such
purpose as described under "--Application of Collections--Excess Spread; Excess
Finance Charges" in this prospectus supplement.
S-19
<PAGE>
Class B Investor Charge-Offs
On each distribution date, if the Class B required amount for such
distribution date exceeds the sum of excess spread and excess finance charges
allocated to Series 2000-3 and not required to pay the Class A required amount,
and reallocated principal collections allocable to the collateral 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, called a
Class B investor charge-off, 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. 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 2000-3 and available for such purpose as described under
"--Application of Collections--Excess Spread; Excess Finance Charges" in this
prospectus supplement.
Shared Principal Collections
Series 2000-3 is a principal sharing series. See "Description of the
Certificates--Shared Principal Collections; Excess Shared Principal
Collections" in the accompanying prospectus.
Paired Series
Series 2000-3 may be paired with one or more other series (each called 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
the Class A certificateholders, the Class B certificateholders and the
collateral interest holder. 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 2000-3, 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 Class A certificateholders, the Class B certificateholders and the
collateral interest holder.
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 the Class A
certificateholders, the Class B certificateholders
S-20
<PAGE>
and the collateral interest holder. The full extent by which the timing or
amount of payments received by the Class A certificateholders, the Class B
certificateholders and the collateral interest 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" 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 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.
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 of accounts 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 2000-3 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 2000-3 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 2000-3
supplement, which failure has a material adverse effect on the Class A
certificateholders, the Class B certificateholders and the collateral
interest holder 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 2000-3 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 Class A
certificateholders, the Class B certificateholders and the collateral
interest holder 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;
(c) a failure by the seller to make an addition of accounts 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 2000-3
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 2000-3
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 2000-3
supplement.
S-21
<PAGE>
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 Class A certificateholders, the Class B
certificateholders and the collateral interest holder evidencing more than 50%
of the aggregate unpaid principal amount of Series 2000-3 by notice then given
in writing to the seller and the servicer (and to the trustee if given by the
Class A certificateholders and the Class B certificateholders) may declare that
a pay out event has occurred with respect to Series 2000-3 as of the date of
such notice. In the case of any event described in subparagraph (c), (e), (f)
or (g), a pay out event shall occur with respect to Series 2000-3 immediately
upon the occurrence of such event, without any notice or other action on the
part of the trustee.
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 2000-3.
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 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
Conservatorship and 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 2000-3 for any
distribution date, called the monthly servicing fee, will be equal to one-
twelfth of the product of:
(a) the servicing fee rate, and
(b) the servicing base amount.
However, the monthly servicing fee for the first distribution date will be
equal to the servicing fee accrued on the initial invested amount at the
servicing fee rate for the period from the series issuance date through the
last day of the first monthly period. 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 will 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 2000-3 for such monthly period that is attributed to interchange.
However, the 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 Class A
certificateholders, the Class B certificateholders or the collateral interest
holder be liable for the share of the servicing fee to be paid out of servicer
interchange.
S-22
<PAGE>
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, called 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.
However, the Class A servicing fee for the first distribution date will be
equal to $196,267.36.
The share of the monthly servicing fee allocable to the Class B
certificateholders (after giving effect to the distribution of any servicer
interchange to the servicer) for any distribution date, called 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.
However, the Class B servicing fee for the first distribution date will be
equal to $22,482.64.
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 any distribution date, called 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.
However, the collateral interest servicing fee for the first distribution date
will be equal to $24,305.56.
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 above,
not be paid and in no event shall the trust, the trustee, the Class A
certificateholders, the Class B 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" in
this prospectus supplement.
Series Termination
If on the distribution date that is two months prior to the Series 2000-3
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
Series 2000-3
S-23
<PAGE>
termination date (after giving effect to all distributions required to be made
on the Series 2000-3 termination date). Upon the expiration of such 40-day
period, the trustee will determine (a) which bid is the highest cash purchase
offer and (b) the amount which otherwise would be available in the collection
account on the Series 2000-3 termination date for distribution to the Class A
certificateholders, the Class B certificateholders and the collateral interest
holder. The servicer, on behalf of the trustee, will sell such receivables on
the Series 2000-3 termination date to the bidder who provided the highest cash
purchase offer and will deposit the proceeds of such sale in the collection
account for allocation (together with the amount which otherwise would be
available in the collection account on the Series 2000-3 termination date for
distribution to the Class A certificateholders, the Class B certificateholders
and the collateral interest holder) to Series 2000-3.
Reports
No later than the third business day prior to each distribution date, the
servicer will forward to the trustee, the paying agent and each rating agency a
monthly report prepared by the servicer setting forth certain information about
the trust, the Class A certificates, the Class B 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 the preceding 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 such
monthly period;
(c) the floating allocation percentage and, during the accumulation
period or early amortization period, the principal allocation percentage
for the Class A certificates, the Class B certificates and the collateral
interest;
(d) the amount of collections of principal receivables and finance charge
receivables processed during such monthly period and the portion thereof
allocated to Series 2000-3;
(e) the aggregate outstanding balance of accounts in the trust portfolio
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 Series 2000-3;
(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 Class A certificates and the Class B
certificates will be passed upon for the underwriters by Cravath, Swaine &
Moore, New York, New York.
S-24
<PAGE>
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. 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 Internal Revenue 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 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
Department of Labor Prohibited Transaction Class Exemption 95-60.
The Authorization
The Department of Labor has authorized the bank to rely upon the exemptive
relief from certain of the prohibited transaction provisions of ERISA and
Section 4975 of the Internal Revenue 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 the bank 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 such 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 described in "ERISA Considerations" in the accompanying
prospectus are met.
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 Internal Revenue 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-25
<PAGE>
Underwriting
Subject to the terms and conditions set forth in the underwriting agreement
for the Class A certificates between the bank and the Class A underwriters
named below, and the terms and conditions set forth in the underwriting
agreement for the Class B certificates between the bank and the Class B
underwriters named below, the bank has agreed to sell to the underwriters, and
each underwriter has severally agreed to purchase, the amount of certificates
set forth opposite its name below.
<TABLE>
<CAPTION>
Principal
Class A Underwriters Amount
-------------------- ------------
<S> <C>
Salomon Smith Barney Inc. $201,875,000
Banc One Capital Markets, Inc. $201,875,000
Chase Securities Inc. $201,875,000
Deutsche Bank Securities Inc. $201,875,000
------------
Total........................................................... $807,500,000
============
<CAPTION>
Principal
Class B Underwriters Amount
-------------------- ------------
<S> <C>
Salomon Smith Barney Inc. $ 46,250,000
Deutsche Bank Securities Inc. $ 46,250,000
------------
Total........................................................... $ 92,500,000
============
</TABLE>
The Class A underwriting agreement and the Class B underwriting agreement
each provide that the obligation of the underwriters to pay for and accept
delivery of the certificates is subject to the approval of certain legal
matters by their counsel and to certain other conditions. All of the
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 Class A underwriters propose initially to offer the Class A certificates
to the public at 100.000% of their principal amount and to certain dealers at
such price less concessions not in excess of 0.195% 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 0.120% 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 100.000% of their principal amount and to certain dealers at
such price less concessions not in excess of 0.225% 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 0.135% 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..................... 100.000% 100.000% $900,000,000
Underwriting Discounts and Commissions.... 0.325% 0.375% $ 2,971,250
Proceeds to Seller........................ 99.675% 99.625% $897,028,750
</TABLE>
S-26
<PAGE>
Additional offering expenses are estimated to be $900,000.
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 with respect to anything done by it in relation to the 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 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
accompanying 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 certificates in accordance with Regulation M under the Securities and
Exchange Act of 1934, as amended. 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 certificates so long as
the stabilizing bids do not exceed a specified maximum. Syndicate covering
transactions involve purchases of the 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 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 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 of 1933, as amended, or
contribute to payments the underwriters may be required to make in respect
thereof.
The closing of the sale of each class of certificates is conditional upon the
closing of the sale of the other class.
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Glossary of Defined Terms
Many of the defined terms below contain terms that are defined elsewhere in
this glossary and in the "Glossary of Defined Terms" in the accompanying
prospectus.
"accumulation period" means the period of time described under "Series
Provisions--Principal Payments--Accumulation Period" in this prospectus
supplement.
"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.
"available investor principal collections" means, for any monthly period, an
amount equal to the sum of:
(i) (a) an amount equal to the product of the principal allocation
percentage of all collections of principal receivables received
during such monthly period, minus
(b) 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
(ii) the amount of miscellaneous payments, if any, for such monthly
period allocated to Series 2000-3, plus
(iii) any shared principal collections from other series that are
allocated to Series 2000-3, plus
(iv) 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
(v) any other amounts which pursuant to the Series 2000-3 supplement are
to be treated as available investor principal collections for the related
distribution date.
"available reserve account amount" means, on each distribution date and the
first special payment date, the amount available to be withdrawn from the
reserve account 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 or such special payment date) and the required
reserve account amount for such distribution date or such special payment date.
"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 2000-3 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.
"business day" means, for purposes of this prospectus supplement and the
accompanying prospectus (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.
"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 aggregate amount on deposit in the
principal funding account with respect to Series 2000-3 on such date
(before giving effect to any deposits therein on such date).
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"Class A additional interest" means an amount paid on each distribution date,
if applicable, equal to the product of:
(i) 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,
(ii) the Class A certificate rate for the related interest period plus
2.0% per annum, and
(iii) the amount payable on interest amounts that were due but not
distributed to the Class A certificateholders on a prior distribution date.
"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 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 Series 2000-3 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 2000-3 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 net investment earnings, if any, in the principal funding
account 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
2000-3 supplement for such distribution date.
"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).
"Class A initial invested amount" means $807,500,000.
"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 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 investor charge-off" has the meaning described in "Series
Provisions--Defaulted Receivables; Investor Charge-Offs--Class A Investor
Charge-Offs" in this prospectus supplement.
"Class A investor default amount" means, for any distribution date, the
portion of the investor default amount allocated to the Class A certificates 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.
"Class A monthly interest" means, for any distribution date, an amount equal
to the product of:
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(i) 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,
(ii) the Class A certificate rate in effect for that period, and
(iii) the outstanding principal amount 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 amount of the
Class A certificates at the Class A certificate rate for the period from and
including the series issuance date to but excluding the first distribution
date.
"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 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 principal percentage" means, for any monthly period:
(i) 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
(ii) 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.
"Class A required amount" means, for any determination date, the amount equal
to:
(i) Class A monthly interest for the related distribution date, plus
(ii) any Class A outstanding monthly interest, plus
(iii) any Class A additional interest, plus
(iv) the Class A servicing fee for such distribution date and any unpaid
Class A servicing fee, plus
(v) the Class A investor default amount, if any, for such distribution
date, minus
(vi) the Class A available funds for such distribution date.
"Class A servicing fee" has the meaning described in "Series Provisions--
Servicing Compensation and Payment of Expenses" in this prospectus supplement.
"Class B 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 B monthly principal as of
the record date preceding the related distribution date; and
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. the denominator of which is the aggregate amount on deposit in the
principal funding account with respect to Series 2000-3 on such date
(before giving effect to any deposits therein on such date).
"Class B additional interest" means an amount paid on each distribution date,
if applicable, equal to the product of:
(i) 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,
(ii) the Class B certificate rate for the related interest period plus
2.0% per annum, and
(iii) the amount payable on interest amounts that were due but not
distributed to the Class B certificateholders on a prior distribution date.
"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.
"Class B available funds" means, for any monthly period, an amount equal to
the sum of:
(i) the Class B floating percentage of collections of finance charge
receivables allocated to Series 2000-3 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 2000-3 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 net investment earnings, if any, in the principal funding
account 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 2000-3 supplement for such distribution date.
"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).
"Class B initial invested amount" means $92,500,000.
"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 Class A required
amount for such distribution dates (excluding any reallocated principal
collections that have resulted in a reduction of the collateral invested
amount), minus
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(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 under "Series Provisions--Defaulted
Receivables; Investor Charge-Offs" in this prospectus supplement, plus
(vi) the aggregate amount of excess spread and excess finance charges
allocated and available to Series 2000-3 and applied on all prior
distribution dates for the purpose of reimbursing amounts deducted as
described in clauses (iii), (iv) and (v) above;
provided, however, that the Class B invested amount may not be reduced below
zero.
"Class B investor charge-off" has the meaning described in "Series
Provisions--Defaulted Receivables; Investor Charge-Offs--Class B Investor
Charge-Offs" in this prospectus supplement.
"Class B investor default amount" means, for any distribution date, the
portion of the investor default amount allocated to the Class B certificates 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.
"Class B monthly interest" means, for any distribution date, an amount equal
to the product of:
(i) 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,
(ii) the Class B certificate rate in effect for that period, and
(iii) the outstanding principal amount 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 amount of the
Class B certificates at the Class B certificate rate for the period from and
including the series issuance date to but excluding the first 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
aggregate amount on deposit in the principal funding account 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.
"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 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
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(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.
"Class B required amount" means, for any determination date, the sum of:
(i) the amount, if any, equal to:
(a) Class B monthly interest for the related distribution date, plus
(b) any Class B outstanding monthly interest, plus
(c) any Class B additional interest, plus
(d) the Class B servicing fee for such distribution date and any
unpaid Class B servicing fee, minus
(e) the Class B available funds for such distribution date, plus
(ii) the Class B investor default amount for the related monthly period.
"Class B servicing fee" has the meaning described in "Series Provisions--
Servicing Compensation and Payment of Expenses" in this prospectus supplement.
"collateral account percentage" means, with respect to any date of
determination, the percentage equivalent of a fraction:
. the numerator of which is the 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 aggregate amount on deposit in the
principal funding account on such date (before giving effect to any
deposits therein on such date).
"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 interest minimum rate.
"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 allocated to Series 2000-3 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 2000-3 supplement, but excluding finance
charge receivables allocated to servicer interchange with respect to such
monthly period), 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 net investment earnings, if any, in the principal funding
account for the related distribution date.
"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.
"collateral floating percentage" means, for any monthly period, the
percentage equivalent (which percentage shall never exceed 100%) of a fraction:
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. 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).
"collateral initial invested amount" means $100,000,000.
"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 "Series Provisions--Defaulted Receivables;
Investor Charge-Offs" in this prospectus supplement, minus
(v) an amount equal to the collateral investor default amount for any
distribution date that is not funded out of excess spread and excess
finance charges allocated to Series 2000-3 and available for such purpose
on such distribution date, plus
(vi) the aggregate amount of excess spread and excess finance charges
allocated and available on all prior distribution dates to reimburse
amounts deducted as described in clauses (iii), (iv) and (v) above;
provided, however, that the collateral invested amount may not be reduced below
zero.
"collateral investor default amount" means for any distribution date the
product of (i) the collateral floating percentage for the related monthly
period and (ii) the investor default amount for such monthly period.
"collateral interest minimum 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, which
rate will not exceed 8.25%.
"collateral minimum monthly interest" means, for any distribution date, an
amount equal to one-twelfth of the product of:
(i) the collateral interest minimum 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 an amount not to exceed $481,250.00.
"collateral monthly principal" for any distribution date relating to the
accumulation period, beginning with the first distribution date on which the
aggregate amount on deposit in the principal funding account is
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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.
"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 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 preceeding 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.
"collateral servicing fee" has the meaning described in "Series Provisions--
Servicing Compensation and Payment of Expenses" in this prospectus supplement.
"controlled accumulation amount" means $50,000,000; provided, however, that
if the start of the accumulation period is delayed as described under "Series
Provisions--Postponement of the Accumulation Period" in this prospectus
supplement, 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 2000-3 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.
"covered amount" means, for any distribution date, an amount equal to the sum
of:
(i) the product of:
(a) 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,
(b) the Class A certificate rate in effect for the related interest
period, and
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(c) 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
(ii) the product of:
(a) 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,
(b) the Class B certificate rate in effect for the related interest
period, and
(c) 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
(iii) one-twelfth of the product of:
(a) the collateral interest minimum rate, and
(b) the aggregate amount on deposit in the principal funding account
for the collateral monthly principal, if any, as of the 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.
"distribution date" means September 15, 2000 and the 15th day of each month
thereafter (or, if any such day is not a business day, the next succeeding
business day).
"early amortization period" means the period of time described under "Series
Provisions--Principal Payments--Early Amortization Period" in this prospectus
supplement.
"excess spread" means, for any distribution date, an amount equal to the sum
of the amounts described in clause (a)(iv), clause (b)(iii) and clause (c)(ii)
in "Series Provisions--Application of Collections--Payment of Interest, Fees
and Other Items" in this prospectus supplement.
"excluded series" means each series which is designated in the relevant
prospectus supplement as then being an excluded series.
"expected final payment date" means the August 2007 distribution date.
"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
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. the denominator of which is the sum of:
(i) 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 2000-3 cut-off date),
plus
(ii) the principal amount on deposit in the excess funding account as
of such day.
However, if the seller so designates, the amount calculated above pursuant to
clause (i) of the denominator shall be increased by the aggregate amount of
principal receivables in additional accounts added to the trust during such
monthly period as though such receivables had been added to the trust as of the
first day of such monthly period.
"group one" means the group of series issued by the trust designated as group
one and which includes Series 2000-3 and the series listed in Annex I.
"initial invested amount" means $1,000,000,000.
"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 be the period
from and including the series issuance date to but excluding the September 2000
distribution date.
"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.
"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.
"LIBOR" means, as of any LIBOR determination date, the rate for deposits in
United States dollars for a period equal to the relevant interest period
(beginning 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 LIBOR determination date will
be determined on the basis of the rates at which deposits in United States
dollars are offered by four reference banks selected by the servicer 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 such bank to provide a quotation of its rate.
If at least two such quotations are provided as requested, the rate for that
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 United
States dollars to leading international banks for a period equal to the
relevant interest period (beginning on the first day of such interest period).
"LIBOR determination date" means, for each of the Class A certificate rate
and the Class B certificate rate, (i) for the initial interest period, the
second London business day prior to the series issuance date and (ii) for each
interest period following the initial interest period, the second London
business day prior to the first day of such interest period. For purposes of
the LIBOR determination date, a London business day is any day on which
dealings in deposits in United States dollars are transacted in the London
interbank market.
"monthly servicing fee" has the meaning described in "Series Provisions--
Servicing Compensation and Payment of Expenses" in this prospectus supplement.
"net servicing fee rate" means:
(i) so long as the bank or The Bank of New York is the servicer, 1.25%
per annum, and
(ii) if the bank or The Bank of New York is not the servicer, 2.00% per
annum.
S-37
<PAGE>
"pay out events" with respect to Series 2000-3 are the events described in
"Series Provisions--Pay Out Events" in this prospectus supplement and
"Description of the Certificates--Pay Out Events" in the accompanying
prospectus.
"portfolio yield" means, for any monthly period, the annualized percentage
equivalent of a fraction:
. the numerator of which is equal to:
(i) 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
(ii) the amount of net investment earnings, if any, in the principal
funding account for the related distribution date, plus
(iii) any excess finance charges that are allocated to Series 2000-3,
plus
(iv) 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
(v) 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.
"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:
(i) 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
(ii) 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 as of such
last day (or, in the case of the first monthly period, the Series 2000-
3 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;
However, if the seller so designates, the amount calculated above pursuant to
clause (i) of the denominator shall be increased by the aggregate amount of
principal receivables in additional accounts added to the trust during such
monthly period as though such receivables had been added to the trust as of the
first day of such monthly period.
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 2000-3, 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
S-38
<PAGE>
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 2000-3.
"principal funding account" means the account established as described under
"Series Provisions--Principal Funding Account" in this prospectus supplement.
"principal shortfall" for Series 2000-3 means:
(i) for any distribution date for the revolving period, zero,
(ii) 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
(iii) 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).
"reallocated principal collections" means, for any distribution date, the
collections of principal receivables allocable first to the collateral interest
and then, in the case of the Class A required amount, to the Class B
certificates that are used to fund the excess, if any, of the Class A required
amount and the Class B required amount remaining after excess spread and excess
finance charges allocated to Series 2000-3 and available for such purpose have
been used to fund the Class A required amount and the Class B required amount.
"required principal balance" means, as of any date of determination, the sum
of:
(i) 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 excluded series or portion thereof), minus
(ii) 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.
"required reserve account amount" for any distribution date on or after the
reserve account must be funded will be equal to:
(i) the product of:
(a) 0.50% of the invested amount as of the preceding distribution
date (after giving effect to all changes therein on such date), and
(b) the reserve account factor as of such distribution date, or
(ii) 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.
"reserve account" means the account established as described under "Series
Provisions--Reserve Account" in this prospectus supplement.
"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.
S-39
<PAGE>
"revolving period" means the period of time described under "Series
Provisions--Principal Payments--Revolving Period" in this prospectus
supplement.
"Series 2000-3 cut-off date" means August 1, 2000.
"Series 2000-3 termination date" means the October 2010 distribution date.
"servicer interchange" has the meaning described in "Series Provisions--
Servicing Compensation and Payment of Expenses" in this prospectus supplement.
"servicing base amount" means, for any distribution date, the adjusted
invested amount as of the last day of the monthly period preceding such
distribution date.
"servicing fee rate" means 2.0%.
"special payment date" means each distribution date following the monthly
period in which a pay out event occurs.
"Telerate page 3750" means the display page currently so designated on the
Bridge Telerate Market Report (or such other page as may replace that page on
that service for the purpose of displaying comparable rates or pries).
"trust portfolio" means certain accounts selected from the bank portfolio and
included in the trust as of the trust cut-off date and subsequent additional
cut-off dates, based on the eligibility criteria specified in the pooling
agreement.
S-40
<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 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) 875-
1315. The servicer will provide, without charge, to any prospective purchaser
of the Class A certificates or Class B certificates, a copy of the prospectus
supplement for any previously publicly-issued series.
1. Series 1994-A Certificates
Initial Series 1994-A Invested Amount........................$550,000,000
Maximum Invested Amount......................................$257,000,000
Certificate Rate............................................Floating Rate
Group.................................................................One
Servicing Fee Rate..................................................2.00%
Series Termination Date.....................................December 2003
2. 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.
3.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.
--------
/1/Subject to change if the commencement of the accumulation period is delayed.
I-1
<PAGE>
4.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.
5.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.
6.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 2005
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.
--------
/1/Subject to change if the commencement of the accumulation period is delayed.
I-2
<PAGE>
7.Series 1997-2 Certificates
<TABLE>
<S> <C>
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
</TABLE>
8.Series 1998-1 Certificates
<TABLE>
<S> <C>
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
</TABLE>
9. Series 1998-3 Certificates
<TABLE>
<S> <C>
Initial Series 1998-3 Invested Amount........................$486,472,629
Initial Class A Invested Amount..............................$410,000,000
Initial Class A Sterling Invested Amount..............(Pounds)250,000,000
Initial Class B Invested Amount...............................$38,771,000
Initial Class C Invested Amount...............................$37,701,629
Class A Fixed Dollar Rate........................................5.94507%
Class A Certificate Rate.........................................7.25%/2/
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
</TABLE>
--------
/1/Subject to change if the commencement of the accumulation period is delayed.
/2/ Rate applicable to the Class A Sterling Invested Amount.
I-3
<PAGE>
10. 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 Amount.....................$31,593,750/1/
Group.................................................................One
Servicing Fee Rate..................................................2.00%
Series Termination Date......................................January 2007
11. Series 1998-5 Certificates
Initial Series 1998-5 Invested Amount..................................$0
Maximum Invested Amount......................................$531,000,000
Certificate Rate............................................Floating Rate
Group.................................................................One
Series Termination Date.....................................February 2005
12. Series 1998-6 Certificates
Initial Series 1998-6 Invested Amount..................................$0
Maximum Invested Amount......................................$500,000,000
Certificate Rate............................................Floating Rate
Group.................................................................One
Series Termination Date........................................March 2007
13.Series 1999-1 Certificates
Initial Series 1999-1 Invested Amount...........................$625,000,000
Initial Class A Invested Amount..................................500,000,000
Initial Class B Invested Amount...................................62,500,000
Initial Collateral Invested Amount................................62,500,000
Class A Certificate Rate...................One-month LIBOR + 0.14% per annum
Class B Certificate Rate...................One-month LIBOR + 0.34% per annum
Expected Final Payment Date.........................................May 2004
Controlled Accumulation Amount................................$31,250,000/1/
Group....................................................................One
Servicing Fee Rate.....................................................2.00%
Series Termination Date............................................July 2007
--------
/1/Subject to change if the commencement of the accumulation period is delayed.
I-4
<PAGE>
14.Series 1999-2 Certificates
Initial Series 1999-2 Invested Amount...........................$625,000,000
Initial Class A Invested Amount..................................500,000,000
Initial Class B Invested Amount...................................62,500,000
Initial Collateral Invested Amount................................62,500,000
Class A Certificate Rate..................One-month LIBOR + 0.125% per annum
Class B Certificate Rate..................One-month LIBOR + 0.305% per annum
Expected Final Payment Date.........................................May 2002
Controlled Accumulation Amount................................$31,250,000/1/
Group....................................................................One
Servicing Fee Rate.....................................................2.00%
Series Termination Date............................................July 2005
15.Series 1999-3 Certificates
Initial Series 1999-3 Invested Amount...........................$500,000,000
Initial Class A Invested Amount..................................400,000,000
Initial Class B Invested Amount...................................50,000,000
Initial Collateral Invested Amount................................50,000,000
Class A Certificate Rate...................One-month LIBOR + 0.25% per annum
Class B Certificate Rate...................One-month LIBOR + 0.48% per annum
Expected Final Payment Date........................................July 2006
Controlled Accumulation Amount................................$25,000,000/1/
Group....................................................................One
Servicing Fee Rate.....................................................2.00%
Series Termination Date.......................................September 2009
16.Series 1999-A Certificates
Initial Series 1999-A Invested Amount.....................................$0
Maximum Invested Amount.........................................$450,000,000
Certificate Rate...............................................Floating Rate
Group....................................................................One
Series Termination Date.........................................January 2008
17.Series 1999-4 Certificates
Initial Series 1999-4 Invested Amount...........................$600,000,000
Initial Class A Invested Amount..................................480,000,000
Initial Class B Invested Amount...................................60,000,000
Initial Collateral Invested Amount................................60,000,000
Class A Certificate Rate.......................................Floating Rate
Class B Certificate Rate.......................................Floating Rate
Expected Final Payment Date......................................August 2004
Controlled Accumulation Amount................................$30,000,000/1/
Group....................................................................One
Servicing Fee Rate.....................................................2.00%
Series Termination Date.........................................October 2007
--------
/1/ Subject to change if the commencement of the accumulation period is
delayed.
I-5
<PAGE>
18.Series 2000-1 Certificates
Initial Series 2000-1 Invested Amount...........................$600,000,000
Initial Class A Invested Amount..................................498,000,000
Initial Class B Invested Amount...................................51,000,000
Initial Collateral Invested Amount................................51,000,000
Class A Certificate Rate...............................................7.10%
Class B Certificate Rate...............................................7.30%
Expected Final Payment Date....................................February 2003
Controlled Accumulation Amount................................$30,000,000/1/
Group....................................................................One
Servicing Fee Rate.....................................................2.00%
Series Termination Date...........................................April 2006
19.Series 2000-2 Certificates
Initial Series 2000-2 Invested Amount...........................$750,000,000
Initial Class A Invested Amount..................................622,500,000
Initial Class B Invested Amount...................................63,750,000
Initial Collateral Invested Amount................................63,750,000
Class A Certificate Rate...............................................7.20%
Class B Certificate Rate...............................................7.35%
Expected Final Payment Date........................................June 2005
Controlled Accumulation Amount................................$37,500,000/1/
Group....................................................................One
Servicing Fee Rate.....................................................2.00%
Series Termination Date..........................................August 2008
--------
/1/ Subject to change if the commencement of the accumulation period is
delayed.
I-6
<PAGE>
Annex II
The Bank Portfolio and the Receivables
General
The accounts included in the trust as of the trust cut-off date and
subsequent additional cut-off dates 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 the Series 2000-3 cut-off date. See "The Accounts," "The
Pooling Agreement Generally--Conveyance of Receivables" and "--Representations
and Warranties" in the accompanying prospectus.
The bank portfolio is primarily comprised of accounts originated by the bank
since 1992, 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:
Fixed Rate or Variable Rate
An annual percentage rate is either a fixed rate or a variable rate that
adjusts periodically according to an index. Some accounts have a low fixed
rate.
Introductory Period or Non-introductory Period
An account may have an introductory period during which a relatively low
annual percentage rate is charged. The annual percentage rate is converted to a
higher rate at the end of the introductory period. Non-introductory rate
products (excluding certain low fixed rate products) are more customized
products and generally include secured cards, low fixed-rate 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 series issuance date constitute, and at any given time thereafter may
constitute, a material portion of the trust portfolio. See "Risk Factors,""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.
II-1
<PAGE>
Delinquency and Loss Experience
Because new accounts usually initially exhibit lower delinquency rates and
credit losses, the growth of the bank portfolio from approximately $13.155
billion at year end 1997, to approximately $18.130 billion as of the end of
June 2000 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, the bank expects 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 August 4, 2000, the
trust portfolio represented approximately 45% and 69% of the bank portfolio by
accounts 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 At Year End At Year End
--------------------- --------------------- ---------------------
At June 30, 2000 1999 1998 1997(3)
--------------------- --------------------- --------------------- ---------------------
Delinquent Delinquent Delinquent Delinquent
Number of Days Delinquent Amount Percentage Amount Percentage Amount Percentage Amount Percentage
------------------------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
30 - 59 days............. $371,977 2.05% $328,161 1.96% $276,021 1.83% $309,440 2.35%
60 - 89 days............. 224,927 1.24 211,372 1.26 164,696 1.09 202,735 1.54
90 + days................ 396,472 2.19 373,072 2.23 286,135 1.89 323,803 2.46
-------- ---- -------- ---- -------- ---- -------- ----
TOTAL.................. $993,376 5.48% $912,605 5.45% $726,852 4.81% $835,978 6.35%
======== ==== ======== ==== ======== ==== ======== ====
</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
1999, 1998 and 1997 were $16,759,833, $15,108,050 and $13,155,103,
respectively. The end of period receivables outstanding at June 30, 2000
were $18,129,525.
(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."
II-2
<PAGE>
Loss Experience for the Bank Portfolio
(Dollars in Thousands)
<TABLE>
<CAPTION>
Six Months
Ended Year Ended
----------- -------------------------------------
June 30,
2000 1999 1998 1997(1)
----------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
Average Receivables
Outstanding.............. $17,011,666 $15,150,906 $13,618,769 $12,103,362
Gross Losses.............. $ 487,155 $ 820,310 $ 930,334 $ 895,434
Gross Losses as a
Percentage of Average
Receivables
Outstanding(2)........... 5.73% 5.41% 6.83% 7.40%
Recoveries................ $ 172,868 $ 253,933 $ 174,713 $ 74,902
Net Losses................ $ 314,287 $ 566,377 $ 755,621 $ 820,532
Net Losses as a Percentage
of Average Receivables
Outstanding(2)........... 3.69% 3.74% 5.55% 6.78%
</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 six months ended June 30, 2000 are
annualized figures. Annualized figures are not necessarily indicative of
results for the entire year.
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>
Six Months
Ended Year Ended
----------- -------------------------------------
June 30,
2000 1999 1998 1997(2)
----------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
Average Receivables
Outstanding.............. $17,011,666 $15,150,906 $13,618,769 $12,103,362
Finance Charges and
Fees(1).................. $ 2,315,905 $ 3,908,913 $ 3,165,960 $ 2,434,650
Yield from Finance Charges
and Fees(3).............. 27.23% 25.80% 23.25% 20.12%
Interchange............... $ 203,335 $ 293,378 $ 165,115 $ 109,394
Yield from
Interchange(3)........... 2.39% 1.94% 1.21% 0.90%
</TABLE>
--------
(1) Finance Charges and Fees does not include interest on subsequent
collections on accounts previously charged off. Finance Charges and Fees
includes monthly periodic rate finance charges, the portion of the annual
membership fees amortized on a monthly basis, cash advance fees, late
charges, overlimit charges and other miscellaneous fees.
(2) Yield from Finance Charges and Fees would have been 20.66% without the
adjustments discussed above under "--General."
(3) The percentages reflected for the six months ended June 30, 2000 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" in the
accompanying prospectus.
The revenue from finance charges and fees 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
II-3
<PAGE>
annual membership fees and other service charges, such as cash advance fees,
late charges, overlimit fees and other miscellaneous fees. If payment rates
decline, the balances subject to monthly periodic rate finance charges tend to
grow, assuming no change in the level of purchasing activity. Accordingly,
under these circumstances, the yield related to monthly periodic rate finance
charges normally increases. Conversely, if payment rates increase, the balances
subject to monthly periodic rate finance charges tend to fall, assuming no
change in the level of purchasing activity. Accordingly, under these
circumstances, the yield related to monthly periodic rate finance charges
normally decreases.
Furthermore, as the bank portfolio experiences growth in receivables through
account origination and account management balance transfer programs which are
assessed low introductory periodic rate finance charges and to the extent the
bank chooses to waive all or part of the rate increase for selected accounts in
an effort to profitably retain balances, the yield related to monthly periodic
rate finance charges would be adversely affected. The yield related to service
charges varies with the type and volume of activity in and the amount of each
account, as well as with the number of delinquent accounts. As account balances
increase, annual membership fees, which remain constant, represent a smaller
percentage of the aggregate account balances.
Payment Rates
The following table sets forth the highest and lowest accountholder monthly
payment rates for the bank portfolio during any single month in the periods
shown and the average accountholder monthly payment rates for all months during
the periods shown, in each case calculated as a percentage of average monthly
account balances during the periods shown. Payment rates shown in the table are
based on amounts which would be payments of principal receivables and finance
charge receivables on the accounts.
Accountholder Monthly Payment Rates
for the Bank Portfolio(1)
<TABLE>
<CAPTION>
Six Months
Ended Year Ended
------------- --------------------
June 30, 2000 1999 1998 1997
------------- ------ ------ ------
<S> <C> <C> <C> <C>
Lowest Month(2)............................. 15.84% 12.09% 10.86% 9.66%
Highest Month(2)............................ 17.36% 14.97% 12.64% 10.74%
Average Payment Rate for the Period......... 16.62% 14.23% 11.71% 10.20%
</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
As of August 4, 2000:
. the trust portfolio included $12,781,649,599 of principal receivables
and $393,929,905 of finance charge receivables;
. the accounts had an average principal receivable balance of $1,181 and
an average credit limit of $3,944;
. the percentage of the aggregate total receivable balance to the
aggregate total credit limit was 29.94%;
II-4
<PAGE>
. the average age of the accounts was approximately 37 months;
. all of the accounts in the trust portfolio were VISA or MasterCard
credit card accounts, of which 62% were standard accounts and 38% were
premium accounts; and
. approximately 47% of the accounts in the trust portfolio were assessed a
variable rate periodic finance charge and approximately 53% were
assessed a fixed rate periodic finance charge.
The following tables summarize the trust portfolio by various criteria as of
August 4, 2000. References to "Receivables Outstanding" in the following
tables include both principal receivables and finance charge 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)....... 152,320 1.37% $ (15,345,465.58) (0.12)%
No Balance(2)........... 2,132,528 19.11 0.00 0.00
More than $0 and less
than or equal to
$1,500.00.............. 6,697,153 60.03 3,312,347,283.27 25.14
$1,500.01-$5,000.00..... 1,450,276 13.00 4,170,625,783.51 31.65
$5,000.01-$10,000.00.... 601,621 5.39 4,105,420,532.06 31.16
Over $10,000.00......... 122,891 1.10 1,602,531,370.55 12.17
---------- ------ ------------------ ------
TOTAL................. 11,156,789 100.00% $13,175,579,503.81 100.00%
========== ====== ================== ======
</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............... 6,105,041 54.72% $ 2,524,011,246.42 19.16%
$1,500.01-$5,000.00...... 1,485,340 13.31 1,763,952,992.36 13.39
$5,000.01-$10,000.00..... 2,602,137 23.32 5,110,404,539.26 38.79
Over $10,000.00.......... 964,271 8.65 3,777,210,725.77 28.66
---------- ------ ------------------ ------
TOTAL.................. 11,156,789 100.00% $13,175,579,503.81 100.00%
========== ====== ================== ======
</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.
II-5
<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).... 10,544,500 94.52% $12,525,578,884.46 95.07%
Past due 30 - 59 days.... 272,754 2.44 271,006,794.20 2.06
Past due 60 - 89 days.... 142,986 1.28 142,813,131.01 1.08
Past due 90+ days........ 196,549 1.76 236,180,694.14 1.79
---------- ------ ------------------ ------
TOTAL.................. 11,156,789 100.00% $13,175,579,503.81 100.00%
========== ====== ================== ======
--------
(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
<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... 436,716 3.91% $ 1,152,686,096.21 8.75%
Over 6 Months to 12
Months.................. 703,857 6.31 1,415,540,067.33 10.74
Over 12 Months to 24
Months.................. 2,592,506 23.24 2,932,220,255.95 22.25
Over 24 Months to 36
Months.................. 2,913,856 26.12 3,056,652,684.15 23.20
Over 36 Months to 48
Months.................. 1,635,212 14.66 1,095,295,385.99 8.31
Over 48 Months to 60
Months.................. 1,269,134 11.38 1,165,973,289.00 8.85
Over 60 Months........... 1,605,508 14.38 2,357,211,725.18 17.90
---------- ------ ------------------ ------
TOTAL.................. 11,156,789 100.00% $13,175,579,503.81 100.00%
========== ====== ================== ======
Composition of Accounts by Accountholder Billing Address
<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............... 1,522,785 13.65% $ 1,674,050,148.76 12.71%
Texas.................... 820,766 7.36 899,523,718.21 6.83
Florida.................. 788,950 7.07 852,008,185.80 6.47
New York................. 769,531 6.90 822,403,641.18 6.24
Illinois................. 477,221 4.28 571,462,902.80 4.34
Ohio..................... 426,364 3.82 520,490,209.14 3.95
Pennsylvania............. 434,676 3.90 519,119,331.40 3.94
Virginia................. 345,005 3.09 482,290,256.40 3.66
Michigan................. 350,025 3.14 450,777,322.14 3.42
New Jersey............... 376,419 3.37 434,597,427.26 3.30
Others(1)................ 4,845,047 43.42 5,948,856,360.72 45.14
---------- ------ ------------------ ------
TOTAL.................. 11,156,789 100.00% $13,175,579,503.81 100.00%
========== ====== ================== ======
</TABLE>
--------
(1) No other state individually accounts for more than 3.30% of the Percentage
of Total Receivables Outstanding.
Since the largest number of accountholders (based on billing addresses) whose
accounts were included in the trust as of August 4, 2000 were in California,
Texas, Florida and New York, adverse economic conditions affecting
accountholders residing in these areas 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" in the accompanying prospectus.
II-6
<PAGE>
[LOGO OF CAPITAL ONE]
Capital One Master Trust
Issuer
Capital One Bank
Seller and Servicer
$807,500,000 Class A Floating Rate Asset Backed Certificates
$92,500,000 Class B Floating Rate Asset Backed Certificates
SERIES 2000-3
----------------
PROSPECTUS SUPPLEMENT
----------------
Underwriters of the Class A certificates
Salomon Smith Barney
Banc One Capital Markets, Inc.
Chase Securities Inc.
Deutsche Banc Alex. Brown
Underwriters of the Class B certificates
Salomon Smith Barney
Deutsche Banc Alex. Brown
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 offering the Class A certificates and Class B
certificates only in states where the offer is permitted.
We claim the accuracy of the information in this prospectus
supplement and the accompanying prospectus as of the dates
stated on their respective covers only.
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, until the date which
is 90 days after the date of this prospectus supplement, all
dealers selling the Class A certificates and Class B
certificates will deliver a prospectus supplement and
prospectus.
