-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, GjRsela8BoBEdJTGKlMTc1DP9ZCFFNSPNiFD0liQ3TpAQNEcxVZgy2Zm/8u1aXAR 16OA1DnCK9DxYLu9hJS2BQ== 0000950133-01-500277.txt : 20010327 0000950133-01-500277.hdr.sgml : 20010327 ACCESSION NUMBER: 0000950133-01-500277 CONFORMED SUBMISSION TYPE: 8-K/A PUBLIC DOCUMENT COUNT: 3 CONFORMED PERIOD OF REPORT: 20010315 ITEM INFORMATION: ITEM INFORMATION: FILED AS OF DATE: 20010326 FILER: COMPANY DATA: COMPANY CONFORMED NAME: CAPITAL ONE MASTER TRUST CENTRAL INDEX KEY: 0000922869 STANDARD INDUSTRIAL CLASSIFICATION: ASSET-BACKED SECURITIES [6189] IRS NUMBER: 541719855 STATE OF INCORPORATION: VA FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 8-K/A SEC ACT: SEC FILE NUMBER: 000-25762 FILM NUMBER: 1578239 BUSINESS ADDRESS: STREET 1: 11013 W BROAD ST RD CITY: GLEN ALLEN STATE: VA ZIP: 23060 BUSINESS PHONE: 8049671000 MAIL ADDRESS: STREET 1: 11013 WEST BROAD ST RD CITY: GLEN ALLEN STATE: VA ZIP: 23060 FORMER COMPANY: FORMER CONFORMED NAME: SIGNET MASTER TRUST DATE OF NAME CHANGE: 19940509 8-K/A 1 w47023e8-ka.txt AMENDMENT TO THE FORM 8-K 1 SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 ------------------------ FORM 8-K/A Current Report THIS AMENDMENT IS BEING FILED TO REVISE BEGINNING OF THE MONTH PRINCIPAL RECEIVABLES AND RESULTING CALCULATIONS Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 Date of Report: March 15, 2001 -------------- CAPITAL ONE MASTER TRUST CAPITAL ONE BANK (Exact name of registrant as specified in its charter) Virginia 0-25762 54-1719855 - ------------------------------- --------------- ---------------- (State or other jurisdiction of (Commission (IRS Employer incorporation) File Number) Identification No.)
11013 West Broad Street Road, Glen Allen, Virginia 23060 - -------------------------------------------------- -------------- (Address of principal executive offices) (Zip Code)
(Registrant's telephone number, including area code): (804) 967-1000 (Former name or former address, if changed since last report): Not Applicable Page 1 of 47 2 ITEM 5. OTHER EVENTS The February 2001 monthly Certificateholder's Statements to investors were distributed March 15, 2001. ITEM 7 (c). EXHIBITS The following are filed as exhibits to this Report under Exhibit 20: 1. February performance Summary 2. Series 1996-1 Class A and Class B Certificateholder's Statements for the month of February 2001. 3. Series 1996-2 Class A and Class B Certificateholder's Statements for the month of February 2001. 4. Series 1996-3 Class A and Class B Certificateholder's Statements for the month of February 2001. 5. Series 1997-1 Class A and Class B Certificateholder's Statements for the month of February 2001. 6. Series 1997-2 Class A and Class B Certificateholder's Statements for the month of February 2001. 7. Series 1998-1 Class A and Class B Certificateholder's Statements for the month of February 2001. 8. Series 1998-3 Class A and Class B Certificateholder's Statements for the month of February 2001. 9. Series 1998-4 Class A and Class B Certificateholder's Statements for the month of February 2001. 10. Series 1999-1 Class A and Class B Certificateholder's Statements for the month of February 2001 11. Series 1999-2 Class A and Class B Certificateholder's Statements for the month of February 2001 12. Series 1999-3 Class A and Class B Certificateholder's Statements for the month of February 2001 13. Series 2000-1 Class A and Class B Certificateholder's Statements for the month of February 2001 14. Series 2000-2 Class A and Class B Certificateholder's Statements for the month of February 2001 15. Series 2000-3 Class A and Class B Certificateholder's Statements for the month of February 2001 16. Series 2000-4 Class A and Class B Certificateholder's Statements for the month of February 2001 17. Series 2000-5 Class A and Class B Certificateholder's Statements for the month of February 2001 Page 2 of 47 3 18. Series 2001-1 Class A and Class B Certificateholder's Statements for the month of February 2001 19. Trust Excess Spread Analysis SIGNATURE Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized. CAPITAL ONE MASTER TRUST By: CAPITAL ONE BANK Servicer By: /s/ David M. Willey ------------------------------------ David M. Willey Senior Vice President of Corporate Financial Management Date: March 15, 2001 Page 3 of 47 4 SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 --------------------------- EXHIBITS TO FORM 8-K/A CAPITAL ONE MASTER TRUST CAPITAL ONE BANK (Exact name of registrant as specified in its charter) Page 4 of 47 5 INDEX TO EXHIBITS
SEQUENTIALLY EXHIBIT NUMBERED NUMBER EXHIBITS PAGE - ------ -------- -------------- 1 February performance Summary 07 2 Series 1996-1 Class A and Class B Certificate- holder's Statements for the month of February 2001 09 3 Series 1996-2 Class A and Class B Certificate- holder's Statements for the month of February 2001 11 4 Series 1996-3 Class A and Class B Certificate- holder's Statements for the month of February 2001 13 5 Series 1997-1 Class A and Class B Certificate- holder's Statements for the month of February 2001 15 6 Series 1997-2 Class A and Class B Certificate- holder's Statements for the month of February 2001 17 7 Series 1998-1 Class A and Class B Certificate- holder's Statements for the month of February 2001 20 8 Series 1998-3 Class A and Class B Certificate- holder's Statements for the month of February 2001 23 9 Series 1998-4 Class A and Class B Certificate- holder's Statements for the month of February 2001 26 10 Series 1999-1 Class A and Class B Certificate- holder's Statements for the month of February 2001 29 11 Series 1999-2 Class A and Class B Certificate- holder's Statements for the month of February 2001 31 12 Series 1999-3 Class A and Class B Certificate- holder's Statements for the month of February 2001 33 13 Series 2000-1 Class A and Class B Certificate- holder's Statements for the month of February 2001 35 14 Series 2000-2 Class A and Class B Certificate-
Page 5 of 47 6 holder's Statements for the month of February 2001 37 15 Series 2000-3 Class A and Class B Certificate- holder's Statements for the month of February 2001 39 16 Series 2000-4 Class A and Class B Certificate- holder's Statements for the month of February 2001 41 17 Series 2000-5 Class A and Class B Certificate- holder's Statements for the month of February 2001 43 18 Series 2001-1 Class A and Class B Certificate- holder's Statements for the month of February 2001 45 19 Trust Excess Spread Analysis 47
Page 6 of 47 EX-20.1 2 w47023ex20-1.txt FEBRUARY PERFORMANCE SUMMARY 1
CAPITAL ONE MASTER TRUST (RECEIVABLES) MONTHLY PERIOD : FEBRUARY 2001 Beginning of the Month Principal Receivables : 17,302,520,211.49 --------------------- Beginning of the Month Finance Charge Receivables : 761,398,747.62 --------------------- Beginning of the Month Discounted Receivables : 0.00 --------------------- Beginning of the Month Total Receivables : 18,063,918,959.11 --------------------- Removed Principal Receivables : 740,172,577.63 --------------------- Removed Finance Charge Receivables : 2,659,771.75 --------------------- Removed Total Receivables : 742,832,349.38 --------------------- Additional Principal Receivables : 2,065,966,867.59 --------------------- Additional Finance Charge Receivables : 271,284,608.19 --------------------- Additional Total Receivables : 2,337,251,475.78 --------------------- Discounted Receivables Generated this Period 0.00 --------------------- End of the Month Principal Receivables : 16,212,316,323.02 --------------------- End of the Month Finance Charge Receivables : 741,471,019.82 --------------------- End of the Month Discounted Receivables : 0.00 --------------------- End of the Month Total Receivables : 16,953,787,342.84 --------------------- Excess Funding Account Balance 0.00 --------------------- Adjusted Invested Amount of all Master Trust Series 15,132,976,677.68 --------------------- End of the Month Seller Percentage 6.66% --------------------- CAPITAL ONE MASTER TRUST (DELINQUENCIES AND LOSSES) MONTHLY PERIOD : FEBRUARY 2001 ACCOUNTS RECEIVABLES -------- ----------- End of the Month Delinquencies : 30 - 59 Days Delinquent 421,536.00 320,483,510.73 ---------------- --------------------- 60 - 89 Days Delinquent 312,919.00 238,175,979.73 ---------------- --------------------- 90 + Days Delinquent 417,476.00 387,023,275.15 ---------------- --------------------- Total 30 + Days Delinquent 1,151,931.00 945,682,765.61 ---------------- --------------------- Delinquencies 30 + Days as a Percent of End of the Month Total Receivables 5.58%* --------------------- Defaulted Accounts During the Month 68,022.00 54,446,560.61 ---------------- --------------------- Annualized Default Rate as a Percent of Beginning of the Month Principal Receivables 3.78% ---------------------
* See note on last page of the report Page 7 of 47 2
CAPITAL ONE MASTER TRUST (COLLECTIONS) MONTHLY PERIOD : FEBRUARY 2001 COLLECTIONS PERCENTAGES ----------- ----------- Total Collections and Gross Payment Rate 2,885,497,765.68 15.97% ---------------------- ----------------- Collections of Principal Receivables and Principal Payment Rate 2,469,707,272.94 14.27% ---------------------- ----------------- Prior Month Billed Finance Charge and Fees 330,467,861.47 ---------------------- Amortized AMF Income 37,390,038.80 ---------------------- Interchange Collected 25,591,492.60 ---------------------- Recoveries of Charged Off Accounts 18,745,847.76 ---------------------- Collections of Discounted Receivables 0.00 ---------------------- Collections of Finance Charge Receivables and Annualized Yield 412,195,240.63 28.59%* ---------------------- ----------------- CAPITAL ONE MASTER TRUST (AMF COLLECTIONS) MONTHLY PERIOD : FEBRUARY 2001 Beginning Unamortized AMF Balance 146,864,438.81 ----------------- + AMF Slug for Added Accounts 74,518,121.64 ---------------------- + AMF Collections 40,985,290.91 ---------------------- - - Amortized AMF Income 37,390,038.80 ---------------------- Ending Unamortized AMF Balance 224,977,812.56 -----------------
/s/ Tom Feil -------------------------------- Tom Feil Director of Securitization * Consistent with the announcement in Capital One Financial Corporation's fourth quarter 2000 earnings call held on January 16, 2001, Capital One Bank added accounts to the Capital One Master Trust (the "Master Trust") in February 2001 (the "Account Addition"), resulting in a broader cross-section of accounts in the Master Trust. As a result, the gross yield, excess spread and delinquency rate for the Master Trust for February 2001 are higher in comparison to recent Master Trust performance. For accounts in Capital One Bank's managed portfolio with characteristics similar to accounts in the Account Addition, the gross yield and delinquency rate historically have decreased over time to a level more consistent with the historical gross yield and delinquency rate on accounts in the Master Trust. Over time, gross yield and excess spread for the Master Trust should differ materially from the February 2001 performance. Changes in the Master Trust's February 2001 performance do not reflect a material change in the performance of Capital One Bank's managed portfolio. Page 8 of 47 EX-20.19 3 w47023ex20-19.txt TRUST EXCESS SPREAD ANALYSIS 1 CAPITAL ONE MASTER TRUST CAPITAL ONE MASTER TRUST
Card Trust COMT 96-1* COMT 96-2 COMT 96-3 COMT 97-1* COMT 97-2* COMT 98-1 COMT 98-3* COMT 98-4 Deal Size $845MM $750MM $500MM $608MM $502MM $591MM $486MM $750MM Expected Maturity(Class A): 8/15/01 12/15/01 1/15/04 6/15/02 8/15/02 4/15/08 08/16/01 11/15/03 - ------------------------------------------------------------------------------------------------------------------------------------ Excess Spread: Portfolio Yield 27.29% 27.29% 27.29% 27.29% 27.29% 27.29% 27.29% 27.29% LESS: (Wt Avg) Coupon 5.74% 5.87% 5.91% 6.58% 5.69% 6.30% 5.48% 5.53% SVC Fees 1.50% 1.50% 1.50% 1.50% 1.50% 1.50% 1.50% 1.50% Charge-Offs 2.48% 2.48% 2.48% 2.48% 2.48% 2.48% 2.48% 2.48% Excess Spread: Feb-01 17.57% 17.44% 17.40% 16.73% 17.62% 17.01% 17.83% 17.78% Jan-01 10.66% 11.37% 11.33% 10.91% 10.71% 11.06% 11.49% 11.75% Dec-00 10.81% 10.85% 10.82% 11.06% 10.86% 11.16% 11.15% 11.74% 3-Mo Avg Excess Spread 13.01% 13.22% 13.18% 12.90% 13.06% 13.08% 13.49% 13.76% - ------------------------------------------------------------------------------------------------------------------------------------ Delinquents: 30 to 59 days 1.89% 1.89% 1.89% 1.89% 1.89% 1.89% 1.89% 1.89% 60 to 89 days 1.40% 1.40% 1.40% 1.40% 1.40% 1.40% 1.40% 1.40% 90+ days 2.28% 2.28% 2.28% 2.28% 2.28% 2.28% 2.28% 2.28% Monthly Payment Rate 15.97% 15.97% 15.97% 15.97% 15.97% 15.97% 15.97% 15.97% Card Trust COMT 99-1 COMT 99-2 COMT 99-3 COMT 00-1 COMT 00-2 COMT 00-3 COMT 00-4 COMT 00-5 Deal Size $625MM $625MM $500MM $600MM $750MM $1000MM $1200MM $1250MM Expected Maturity(Class A): 05/15/04 05/15/02 07/15/06 02/17/03 06/15/05 08/15/07 10/17/05 10/15/03 - ------------------------------------------------------------------------------------------------------------------------------------ Excess Spread: Portfolio Yield 27.29% 27.29% 27.29% 27.29% 27.29% 27.29% 27.29% 27.29% LESS: (Wt Avg) Coupon 6.01% 5.90% 6.18% 7.16% 6.76% 5.70% 6.68% 6.58% SVC Fees 1.50% 1.50% 1.50% 1.50% 2.00% 2.00% 2.00% 2.00% Charge-Offs 2.48% 2.48% 2.48% 2.48% 2.48% 2.48% 2.48% 2.48% Excess Spread: Feb-01 17.30% 17.41% 17.13% 16.15% 16.05% 17.11% 16.13% 16.23% Jan-01 11.31% 11.34% 11.14% 10.25% 10.15% 11.13% 10.70% 10.80% Dec-00 10.92% 10.82% 10.76% 10.44% 10.34% 10.74% 11.21% 11.29% 3-Mo Avg Excess Spread 13.18% 13.19% 13.01% 12.28% 12.18% 12.99% 12.68% 12.77% - ------------------------------------------------------------------------------------------------------------------------------------ Delinquents: 30 to 59 days 1.89% 1.89% 1.89% 1.89% 1.89% 1.89% 1.89% 1.89% 60 to 89 days 1.40% 1.40% 1.40% 1.40% 1.40% 1.40% 1.40% 1.40% 90+ days 2.28% 2.28% 2.28% 2.28% 2.28% 2.28% 2.28% 2.28% Monthly Payment Rate 15.97% 15.97% 15.97% 15.97% 15.97% 15.97% 15.97% 15.97%
* This material is for informational purposes only and is not an offer of securities for sale in the United States. These securities will not be and have not been registered under the Securities Act of 1933 and may not be offered or sold in the United States absent registration or an applicable exemption from the registration requirements. ** Consistent with the announcement in Capital One Financial Corporation's fourth quarter 2000 earnings call held on January 16, 2001, Capital One Bank added accounts to the Capital One Master Trust (the "Master Trust") in February 2001 (the "Account Addition"), resulting in a broader cross-section of accounts in the Master Trust. As a result, the gross yield, excess spread and delinquency rate for the Master Trust for February 2001 are higher in comparison to recent Master Trust performance. For accounts in Capital One Bank's managed portfolio with characteristics similar to accounts in the Account Addition, the gross yield and delinquency rate historically have decreased over time to a level more consistent with the historical gross yield and delinquency rate on accounts in the Master Trust. Over time, gross yield and excess spread for the Master Trust should differ materially from the February 2001 performance. Changes in the Master Trust's February 2001 performance do not reflect a material change in the performance of Capital One Bank's managed portfolio. COMMENTS: Capital One Master Trust performance statistics are also available at the Capital One web site: http://www.capitalone.com/invest/financials/abs.html Page 47 of 47 -----END PRIVACY-ENHANCED MESSAGE-----