EX-20.23 25 w84279exv20w23.txt TRUST EXCESS SPREAD ANALYSIS . . .
----------------------------------------------------------------------------------------------------------------------------------- CAPITAL ONE MASTER TRUST Trust Excess Spread Analysis February-03 Card Trust COMT 96-3 COMT 98-1 Deal Size $500MM $591MM Expected Maturity(Class A): 1/15/2004 4/15/2008 ----------------------------------------------------------------------------------------------------------------------------------- Portfolio Yield 18.72% 18.72% LESS: (Wt Avg) Coupon 1.76% 6.02% SVC Fees 1.50% 1.50% Net Charge-Offs 5.03% 5.03% Excess Spread: Feb-03 10.43% 6.16% Jan-03 10.14% 5.41% Dec-02 11.40% 6.98% 3-Mo Avg Excess Spread 10.66% 6.18% ----------------------------------------------------------------------------------------------------------------------------------- Delinquents: 30 to 59 days 1.63% 1.63% 60 to 89 days 1.19% 1.19% 90+ days 2.66% 2.66% Gross Monthly Payment Rate 16.37% 16.37% -----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------- CAPITAL ONE MASTER TRUST Trust Excess Spread Analysis February-03 Card Trust COMT 98-4 COMT 99-1 Deal Size $750MM $625MM Expected Maturity(Class A): 11/15/2003 05/15/2004 ----------------------------------------------------------------------------------------------------------------------------------- Portfolio Yield 18.72% 18.72% LESS: (Wt Avg) Coupon 4.89% 2.31% SVC Fees 1.50% 1.50% Net Charge-Offs 5.03% 5.03% Excess Spread: Feb-03 7.29% 9.87% Jan-03 6.49% 9.74% Dec-02 8.07% 10.94% 3-Mo Avg Excess Spread 7.28% 10.18% ----------------------------------------------------------------------------------------------------------------------------------- Delinquents: 30 to 59 days 1.63% 1.63% 60 to 89 days 1.19% 1.19% 90+ days 2.66% 2.66% Gross Monthly Payment Rate 16.37% 16.37% -----------------------------------------------------------------------------------------------------------------------------------
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----------------------------------------------------------------------------------------------------------------------------------- CAPITAL ONE MASTER TRUST Trust Excess Spread Analysis February-03 Card Trust COMT 99-3 COMT 00-2* Deal Size $500MM $750MM Expected Maturity(Class A): 7/17/06 06/15/2005 ----------------------------------------------------------------------------------------------------------------------------------- Portfolio Yield 18.72% 18.72% LESS: (Wt Avg) Coupon 2.48% 7.26% SVC Fees 1.50% 2.00% Net Charge-Offs 5.03% 5.03% Excess Spread: Feb-03 9.70% 4.42% Jan-03 9.58% 3.70% Dec-02 10.77% 5.25% 3-Mo Avg Excess Spread 10.01% 4.46% ----------------------------------------------------------------------------------------------------------------------------------- Delinquents: 30 to 59 days 1.63% 1.63% 60 to 89 days 1.19% 1.19% 90+ days 2.66% 2.66% Gross Monthly Payment Rate 16.37% 16.37% -----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------- CAPITAL ONE MASTER TRUST Trust Excess Spread Analysis February-03 Card Trust COMT 00-3 COMT 00-4 Deal Size $1000MM $1200MM Expected Maturity(Class A): 08/15/2007 10/17/2005 ----------------------------------------------------------------------------------------------------------------------------------- Portfolio Yield 18.72% 18.72% LESS: (Wt Avg) Coupon 2.51% 5.82% SVC Fees 2.00% 2.00% Net Charge-Offs 5.03% 5.03% Excess Spread: Feb-03 9.18% 5.86% Jan-03 9.07% 5.06% Dec-02 10.25% 6.65% 3-Mo Avg Excess Spread 9.50% 5.85% ----------------------------------------------------------------------------------------------------------------------------------- Delinquents: 30 to 59 days 1.63% 1.63% 60 to 89 days 1.19% 1.19% 90+ days 2.66% 2.66% Gross Monthly Payment Rate 16.37% 16.37% -----------------------------------------------------------------------------------------------------------------------------------
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----------------------------------------------------------------------------------------------------------------------------------- CAPITAL ONE MASTER TRUST Trust Excess Spread Analysis February-03 Card Trust COMT 00-5 COMT 01-1 Deal Size $1250MM $1200MM Expected Maturity(Class A): 10/15/2003 2/15/08 ----------------------------------------------------------------------------------------------------------------------------------- Portfolio Yield 18.72% 18.72% LESS: (Wt Avg) Coupon 5.73% 1.88% SVC Fees 2.00% 2.00% Net Charge-Offs 5.03% 5.03% Excess Spread: Feb-03 5.95% 9.80% Jan-03 5.15% 9.51% Dec-02 6.74% 10.78% 3-Mo Avg Excess Spread 5.95% 10.03% ----------------------------------------------------------------------------------------------------------------------------------- Delinquents: 30 to 59 days 1.63% 1.63% 60 to 89 days 1.19% 1.19% 90+ days 2.66% 2.66% Gross Monthly Payment Rate 16.37% 16.37% -----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------- CAPITAL ONE MASTER TRUST Trust Excess Spread Analysis February-03 Card Trust COMT 01-2 COMT 01-3 Deal Size $1200MM $750MM Expected Maturity(Class A): 3/15/06 5/15/06 ----------------------------------------------------------------------------------------------------------------------------------- Portfolio Yield 18.72% 18.72% LESS: (Wt Avg) Coupon 4.87% 4.90% SVC Fees 2.00% 2.00% Net Charge-Offs 5.03% 5.03% Excess Spread: Feb-03 6.81% 6.78% Jan-03 5.99% 5.98% Dec-02 7.59% 7.57% 3-Mo Avg Excess Spread 6.80% 6.78% ----------------------------------------------------------------------------------------------------------------------------------- Delinquents: 30 to 59 days 1.63% 1.63% 60 to 89 days 1.19% 1.19% 90+ days 2.66% 2.66% Gross Monthly Payment Rate 16.37% 16.37% -----------------------------------------------------------------------------------------------------------------------------------
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----------------------------------------------------------------------------------------------------------------------------------- CAPITAL ONE MASTER TRUST Trust Excess Spread Analysis February-03 Card Trust COMT 01-4 COMT 01-5 Deal Size $1000MM $1000MM Expected Maturity(Class A): 6/15/04 8/15/06 ----------------------------------------------------------------------------------------------------------------------------------- Portfolio Yield 18.72% 18.72% LESS: (Wt Avg) Coupon 1.86% 4.77% SVC Fees 2.00% 2.00% Net Charge-Offs 5.03% 5.03% Excess Spread: Feb-03 9.83% 6.91% Jan-03 9.56% 6.11% Dec-02 10.87% 6.11% 3-Mo Avg Excess Spread 10.08% 6.38% ----------------------------------------------------------------------------------------------------------------------------------- Delinquents: 30 to 59 days 1.63% 1.63% 60 to 89 days 1.19% 1.19% 90+ days 2.66% 2.66% Gross Monthly Payment Rate 16.37% 16.37% -----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------- CAPITAL ONE MASTER TRUST Trust Excess Spread Analysis February-03 Card Trust COMT 01-6 COMT 01-7 Deal Size $1300MM $1000MM Expected Maturity(Class A): 8/15/08 10/15/04 ----------------------------------------------------------------------------------------------------------------------------------- Portfolio Yield 18.72% 18.72% LESS: (Wt Avg) Coupon 2.30% 3.55% SVC Fees 2.00% 2.00% Net Charge-Offs 5.03% 5.03% Excess Spread: Feb-03 9.38% 8.13% Jan-03 9.23% 7.33% Dec-02 10.43% 8.92% 3-Mo Avg Excess Spread 9.68% 8.13% ----------------------------------------------------------------------------------------------------------------------------------- Delinquents: 30 to 59 days 1.63% 1.63% 60 to 89 days 1.19% 1.19% 90+ days 2.66% 2.66% Gross Monthly Payment Rate 16.37% 16.37% -----------------------------------------------------------------------------------------------------------------------------------
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----------------------------------------------------------------------------------------------------------------------------------- CAPITAL ONE MASTER TRUST Trust Excess Spread Analysis February-03 Card Trust COMT 01-8 COMT 02-1 Deal Size $1000MM $985MM Expected Maturity(Class A): 10/16/06 1/15/09 ----------------------------------------------------------------------------------------------------------------------------------- Portfolio Yield 18.72% 18.72% LESS: (Wt Avg) Coupon 4.20% 1.91% SVC Fees 2.00% 2.00% Net Charge-Offs 5.03% 5.03% Excess Spread: Feb-03 7.48% 9.77% Jan-03 6.68% 9.49% Dec-02 8.27% 10.75% 3-Mo Avg Excess Spread 7.48% 10.00% ----------------------------------------------------------------------------------------------------------------------------------- Delinquents: 30 to 59 days 1.63% 1.63% 60 to 89 days 1.19% 1.19% 90+ days 2.66% 2.66% Gross Monthly Payment Rate 16.37% 16.37% -----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------- CAPITAL ONE MASTER TRUST Trust Excess Spread Analysis February-03 Card Trust COMT 02-2 COMT 02-3 Deal Size $620MM $1350MM Expected Maturity(Class A): 3/15/07 4/15/05 ----------------------------------------------------------------------------------------------------------------------------------- Portfolio Yield 18.72% 18.72% LESS: (Wt Avg) Coupon 1.84% 2.12% SVC Fees 2.00% 2.00% Net Charge-Offs 5.03% 5.03% Excess Spread: Feb-03 9.84% 9.57% Jan-03 9.55% 9.38% Dec-02 10.82% 10.60% 3-Mo Avg Excess Spread 10.07% 9.85% ----------------------------------------------------------------------------------------------------------------------------------- Delinquents: 30 to 59 days 1.63% 1.63% 60 to 89 days 1.19% 1.19% 90+ days 2.66% 2.66% Gross Monthly Payment Rate 16.37% 16.37% -----------------------------------------------------------------------------------------------------------------------------------
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----------------------------------------------------------------------------------------------------------------------------------- CAPITAL ONE MASTER TRUST Trust Excess Spread Analysis February-03 Card Trust COMT 02-4 Deal Size $750MM Expected Maturity(Class A): 5/15/07 ------------------------------------------------------------------------------------------------------------- Portfolio Yield 18.72% LESS: (Wt Avg) Coupon 4.47% SVC Fees 2.00% Net Charge-Offs 5.03% Excess Spread: Feb-03 7.21% Jan-03 6.40% Dec-02 8.00% 3-Mo Avg Excess Spread 7.20% ------------------------------------------------------------------------------------------------------------- Delinquents: 30 to 59 days 1.63% 60 to 89 days 1.19% 90+ days 2.66% Gross Monthly Payment Rate 16.37% -----------------------------------------------------------------------------------------------------------------------------------
Page 56 of 57 CAPITAL ONE MASTER TRUST (*) The early amortization excess spread calculation is 4.46%, which should be compared with the trigger of 0%. The Note Reserve account excess spread calculation is 4.53%, which should be compared with the trigger of 4.5%. The two excess spread calculations are different because of different day-count conventions, as specified in the governing transaction documents. (**) 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. Capital One Master Trust performance statistics are also available at the Capital One web site: http://www.capitalone.com/about/invest/financials/abs.shtml * Represents Non-US Denominated Transactions. Page 57 of 57