Exhibit 99.3

EX-99.3 4 d314181dex993.htm EXHIBIT 99.3 Exhibit 99.3

EXHIBIT 99.3

The following information relates to the credit card receivables owned by Capital One Master Trust and the delinquency, loss, revenue and payment rate characteristics of the related credit card accounts as of the dates set forth herein. Some of the terms used herein are used as defined in the Glossary of Terms at the end of this exhibit.

The Capital One Credit Card Portfolio

The Capital One credit card portfolio is primarily comprised of VISA and MasterCard accounts owned by Capital One Bank (USA), National Association. The US Bank Segment consists of two types of credit card accounts: (i) the Bank Consumer Segment, consisting of consumer revolving credit card accounts and (ii) the Bank Small Business Segment, consisting of small business revolving credit card accounts. We refer to each of the Bank Consumer Segment and the Bank Small Business Segment individually as a “Bank Segment” and collectively as the “Bank Segments.” The Master Trust Portfolio is comprised of receivables arising in accounts that have been selected from the Bank Consumer Segment and the Bank Small Business Segment.

At December 31, 2011, December 31, 2010, December 31, 2009,and December 31, 2008 the Bank Consumer Segment consisted of receivables totaling approximately $50.047 billion, $45.016 billion, $49.651 billion and $53.564 billion, respectively. At December 31, 2011, December 31, 2010, December 31, 2009, and December 31, 2008 the Bank Small Business Segment consisted of receivables totaling approximately $4.645 billion, $4.983 billion, $5.433 billion, and $5.775 billion, respectively.

The Originator

Capital One Bank (USA), National Association, a national banking association, is a subsidiary of Capital One Financial Corporation. At December 31, 2011, Capital One Bank (USA), National Association had reported assets of approximately $68.0 billion and reported stockholders’ equity of approximately $6.7 billion.

The Master Trust Portfolio

General

The Master Trust Portfolio consists of two segments of accounts, each of which has individual delinquency, loss, revenue and payment rate characteristics: (i) the Master Trust Consumer Segment, consisting of receivables arising in consumer revolving credit card accounts selected from the Bank Consumer Segment, and (ii) the Master Trust Small Business Segment, consisting of receivables arising in small business revolving credit card accounts selected from the Bank Small Business Segment. We refer to each of the Master Trust Consumer Segment and the Master Trust Small Business Segment individually as a “Master Trust Segment” and collectively as the “Master Trust Segments.” As of December 31, 2011, 90.04% of the receivables in the Master Trust Portfolio arose in accounts in the Bank Consumer Segment and 9.96% of receivables in the Master Trust Portfolio arose in accounts in the Bank Small Business Segment. There is no limitation on the percentage of the Master Trust Portfolio comprised by any Bank Segment and, as a result, the composition of the Master Trust Portfolio may change over time.

At December 31, 2011, December 31, 2010, December 31, 2009 and December 31, 2008, the aggregate invested amount of the outstanding series of certificates issued by the master trust totaled approximately $14.351 billion, $22.436 billion, $37.699 billion and $37.462 billion, respectively.

The receivables conveyed to the master trust arise in accounts selected from the Bank Portfolio based on the eligibility criteria specified in the pooling agreement as applied on the Master Trust Cut-Off Date and subsequent additional cut-off dates. Subject to those eligibility requirements and applicable regulatory guidelines, the decision regarding the method of selection of accounts from either of the Bank Segments to be designated for addition to the Master Trust Portfolio resides at the discretion of the transferor.

Set forth in this exhibit is certain information with respect to each of the Master Trust Segments, as well as certain information with respect to the Bank Small Business Segment. The Master Trust Small Business Segment may not be representative of the entire Bank Small Business Segment. Consequently, delinquency, loss, revenue and payment rate experience with respect to the Master Trust Small Business Segment may be different from that set forth below for the Bank Small Business Segment.

Delinquency and Loss Experience

Because new accounts usually initially exhibit lower delinquency rates and credit losses, the growth of receivables in the Master Trust Portfolio from approximately $36.957 billion at year end 2004, to approximately $41.509 billion at December 31, 2011, 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 originator expects that the charge-off rates and delinquencies will increase over time. The delinquency and net loss rates at any time reflect, among other factors, the quality of the credit card loans, the average seasoning of the accounts, the success of the originator’s collection efforts, the product mix of the Master Trust Segments or the Bank Small Business Segment, as applicable, and general economic conditions.

Gross losses represent the arithmetic sum of all receivables in the Master Trust Segments or the Bank Small Business Segment, as applicable, that were charged-off during the periods indicated in the tables below. Recoveries are collections received in respect of charged-off accounts in the Master Trust Consumer Segment or the Bank Small Business Segment, as applicable, during the periods indicated in the tables below. Recoveries are treated as finance charge collections for the Master Trust Consumer Segment and the Bank Small Business Segment. Net losses are an amount equal to gross losses minus recoveries, each for the applicable period.

The following tables set forth the delinquency and loss experience for the Master Trust Segments and for the Bank Small Business Segment, for each of the periods shown. There can be no assurance that the delinquency and loss experience for the receivables in the future will be similar to the historical experience set forth below.

Delinquencies by Receivables as a

Percentage of the

Master Trust Consumer Segment ⁽¹⁾⁽²⁾

(Dollars in Thousands)


	At Year End
	2011					2010					2009					2008
	Receivables		Percentage of Total Receivables			Receivables		Percentage of Total Receivables			Receivables		Percentage of Total Receivables			Receivables		Percentage of Total Receivables
Receivables Outstanding	$	37,373,115		100.00	%	$	38,280,563		100.00	%	$	41,991,710		100.00	%	$	45,349,664		100.00	%
Receivables Delinquent:
30 - 59 days	$	364,394		0.98	%	$	375,470		0.98	%	$	624,860		1.49	%	$	636,716		1.40	%
60 - 89 days		269,113		0.72			319,147		0.83			555,180		1.32			495,246		1.09
90 - 119 days		239,443		0.64			317,295		0.83			536,201		1.28			442,873		0.98
120 - 149 days		207,172		0.55			289,126		0.76			494,125		1.18			393,020		0.87
150+days		184,250		0.49			272,208		0.71			472,333		1.12			359,997		0.79

TOTAL	$	1,264,372		3.38	%	$	1,573,246		4.11	%	$	2,682,699		6.39	%	$	2,327,852		5.13	%


	At Year End
	2007					2006
	Receivables		Percentage of Total Receivables			Receivables		Percentage of Total Receivables
Receivables Outstanding	$	46,066,251		100.00	%	$	43,974,624		100.00	%
Receivables Delinquent:
30 - 59 days	$	617,296		1.34	%	$	522,078		1.19	%
60 - 89 days		465,604		1.01			350,467		0.80
90 - 119 days		415,150		0.90			308,722		0.70
120 - 149 days		367,666		0.80			265,101		0.60
150+days		341,452		0.74			240,123		0.55

TOTAL	$	2,207,168		4.79	%	$	1,686,491		3.84	%

⁽¹⁾	The percentages are the result of dividing the delinquent amount by the end of period receivables outstanding for the applicable period. The delinquent amount is the dollar amount of end of period delinquencies for the period.

⁽²⁾	Figures and percentages in this table are reported on a processing month basis.

Delinquencies by Receivables as a

Percentage of the

Master Trust Small Business Segment

and the Bank Small Business Segment ⁽¹⁾⁽²⁾

(Dollars in Thousands)


	Master Trust Small Business Segment
	At Year End
	2011					2010					2009
	Receivables		Percentage of Total Receivables			Receivables		Percentage of Total Receivables			Receivables		Percentage of Total Receivables
Receivables Outstanding	$	4,136,088		100.00	%	$	4,600,004		100.00	%	$	5,223,782		100.00	%
Receivables Delinquent:
30 - 59 days	$	41,942		1.01	%	$	50,747		1.10	%	$	85,674		1.64	%
60 - 89 days		32,548		0.79			46,915		1.02			77,429		1.49
90 - 119 days		27,907		0.67			43,704		0.95			73,773		1.41
120 - 149 days		25,759		0.62			41,627		0.90			67,459		1.29
150+days		25,167		0.61			40,258		0.88			66,335		1.27

TOTAL	$	153,323		3.70	%	$	223,252		4.85	%	$	370,670		7.10	%


	Bank Small Business Segment
	At Year End
	2011					2010					2009
	Receivables		Percentage of Total Receivables			Receivables		Percentage of Total Receivables			Receivables		Percentage of Total Receivables
Receivables Outstanding	$	4,645,361		100.00	%	$	4,982,823		100.00	%	$	5,433,674		100.00	%
Receivables Delinquent:
30 - 59 days	$	45,645		0.98	%	$	52,977		1.06	%	$	87,980		1.62	%
60 - 89 days		34,988		0.75			48,513		0.98			79,566		1.46
90 - 119 days		30,392		0.66			45,454		0.91			75,826		1.39
120 - 149 days		27,856		0.60			43,010		0.86			69,309		1.28
150+days		27,259		0.59			41,507		0.84			67,835		1.25

TOTAL	$	166,140		3.58	%	$	231,460		4.65	%	$	380,516		7.00	%


	Bank Small Business Segment
	At Year End
	2008					2007					2006
			Percentage					Percentage					Percentage
			of Total					of Total					of Total
	Receivables		Receivables			Receivables		Receivables			Receivables		Receivables
Receivables Outstanding	$	5,775,129		100.00	%	$	5,217,801		100.00	%	$	4,932,378		100.00	%
Receivables Delinquent:
30 - 59 days	$	91,051		1.58	%	$	71,507		1.37	%	$	62,615		1.27	%
60 - 89 days		73,383		1.27			48,670		0.93			37,641		0.76
90 - 119 days		66,200		1.15			44,337		0.85			30,172		0.61
120 - 149 days		55,018		0.95			39,309		0.76			25,622		0.52
150+days		48,582		0.84			33,502		0.64			24,645		0.50

TOTAL	$	334,234		5.79	%	$	237,325		4.55	%	$	180,695		3.66	%

⁽¹⁾	The percentages are the result of dividing the delinquent amount by the end of period receivables outstanding for the applicable period. The delinquent amount is the dollar amount of end of period delinquencies for the period.

⁽²⁾	Figures and percentages in this table are reported on a processing month basis.

Delinquencies by Accounts as a

Percentage of the

Master Trust Consumer Segment ⁽¹⁾⁽²⁾


	At Year End
	2011					2010					2009					2008
			Percentage					Percentage					Percentage					Percentage
			of Total					of Total					of Total					of Total
	Accounts		Accounts			Accounts		Accounts			Accounts		Accounts			Accounts		Accounts
Total Accounts		20,825,234		100.00	%		20,365,046		100.00	%		21,938,868		100.00	%		24,079,842		100.00	%
Accounts Delinquent:
30 - 59 days		182,361		0.88	%		166,501		0.82	%		277,661		1.27	%		302,945		1.26	%
60 - 89 days		118,669		0.57			120,133		0.59			222,004		1.01			215,608		0.89
90 - 119 days		101,880		0.49			114,135		0.56			201,138		0.92			189,780		0.79
120 - 149 days		82,857		0.40			99,327		0.48			175,665		0.80			161,590		0.67
150+days		69,750		0.33			88,983		0.44			160,317		0.73			143,294		0.60

TOTAL		555,517		2.67	%		589,079		2.89	%		1,036,785		4.73	%		1,013,217		4.21	%


	At Year End
	2007					2006
			Percentage					Percentage
			of Total					of Total
	Accounts		Accounts			Accounts		Accounts
Total Accounts		27,844,268		100.00	%		27,332,468		100.00	%
Accounts Delinquent:
30 - 59 days		384,088		1.38	%		387,583		1.42	%
60 - 89 days		267,571		0.96			241,842		0.88
90 - 119 days		226,547		0.81			203,940		0.75
120 - 149 days		192,498		0.69			164,858		0.60
150+days		180,871		0.65			152,888		0.56

TOTAL		1,251,575		4.49	%		1,151,111		4.21	%

⁽¹⁾	The percentages are the result of dividing the number of delinquent accounts by the end of period accounts for the applicable period.

⁽²⁾	Figures and percentages in this table are reported on a processing month basis.

Delinquencies by Accounts as a

Percentage of the

Master Trust Small Business Segment

and the Bank Small Business Segment ⁽¹⁾⁽²⁾


	Master Trust Small Business Segment
	At Year End
	2011					2010					2009
	Accounts		Percentage of Total Accounts			Accounts		Percentage of Total Accounts			Accounts		Percentage of Total Accounts
Total Accounts		2,259,402		100.00	%		2,355,407		100.00	%		2,630,934		100.00	%
Accounts Delinquent:
30 - 59 days		11,898		0.53	%		14,103		0.60	%		23,122		0.88	%
60 - 89 days		7,678		0.34			10,385		0.44			17,967		0.68
90 - 119 days		6,322		0.28			9,232		0.39			16,081		0.61
120 - 149 days		5,206		0.23			8,091		0.34			13,927		0.53
150+days		4,795		0.21			7,486		0.32			13,136		0.50

TOTAL		35,899		1.59	%		49,297		2.09	%		84,233		3.20	%


	Bank Small Business Segment					Bank Small Business Segment
	At Year End
	2011					2010					2009
	Accounts		Percentage of Total Accounts			Accounts		Percentage of Total Accounts			Accounts		Percentage of Total Accounts
Total Accounts		2,549,803		100.00	%		2,557,767		100.00	%		2,709,640		100.00	%
Accounts Delinquent:
30 - 59 days		14,540		0.57	%		15,374		0.60	%		23,901		0.88	%
60 - 89 days		9,494		0.37			11,046		0.43			18,526		0.69
90 - 119 days		7,907		0.31			9,720		0.38			16,582		0.61
120 - 149 days		6,478		0.26			8,419		0.33			14,352		0.53
150+days		5,872		0.23			7,803		0.31			13,508		0.50

TOTAL		44,291		1.74	%		52,362		2.05	%		86,869		3.21	%


	Bank Small Business Segment
	At Year End
	2008					2007					2006
	Accounts		Percentage of Total Accounts			Accounts		Percentage of Total Accounts			Accounts		Percentage of Total Accounts
Total Accounts		3,266,203		100.00	%		3,544,070		100.00	%		3,621,445		100.00	%
Accounts Delinquent:
30 - 59 days		27,884		0.85	%		29,352		0.83	%		33,111		0.91	%
60 - 89 days		20,208		0.62			17,989		0.50			17,556		0.49
90 - 119 days		18,097		0.55			15,216		0.43			13,122		0.36
120 - 149 days		13,870		0.43			12,404		0.35			10,096		0.28
150+days		12,189		0.37			10,249		0.29			9,158		0.25

TOTAL		92,248		2.82	%		85,210		2.40	%		83,043		2.29	%

⁽¹⁾	The percentages are the result of dividing the number of delinquent accounts by the end of period accounts for the applicable period.

⁽²⁾	Figures and percentages in this table are reported on a processing month basis.

Loss Experience for the Master Trust Consumer Segment⁽¹⁾


	At Year End
	2011			2010			2009			2008			2007			2006
Average Principal Receivables Outstanding ⁽²⁾	$	35,528,630		$	37,794,471		$	41,695,147		$	43,419,060		$	42,778,014		$	40,335,995
Average Accounts		20,608,782			20,831,949			22,440,717			25,883,779			28,038,820			27,212,401
Gross Losses	$	2,388,707		$	3,993,283		$	4,207,521		$	3,348,613		$	2,409,873		$	1,910,335
Gross Losses as a Percentage of Average Principal Receivables Outstanding		6.72	%		10.57	%		10.09	%		7.71	%		5.63	%		4.74	%
Recoveries	$	948,909		$	1,002,346		$	897,458		$	946,664		$	897,817		$	818,426
Net Losses	$	1,439,798		$	2,990,937		$	3,310,063		$	2,401,949		$	1,512,056		$	1,091,909
Net Losses as a Percentage of Average Principal Receivables Outstanding		4.05	%		7.91	%		7.94	%		5.53	%		3.53	%		2.71	%
Accounts Experiencing a Loss		947,288			1,586,702			1,971,508			1,968,696			1,762,019			1,764,288
Accounts Experiencing a Loss as a Percentage of Average
Accounts Outstanding		4.60	%		7.62	%		8.79	%		7.61	%		6.28	%		6.48	%
Average Net Loss of Accounts with a Loss ⁽¹⁾	$	1,520		$	1,885		$	1,679		$	1,220		$	858		$	619

⁽¹⁾	All dollar amounts in this table are expressed as dollars in thousands, except for Average Net Loss of Accounts with a Loss, which is expressed as actual dollars.

⁽²⁾	Calculated based on the daily average of Principal Receivables Outstanding.

Loss Experience for the Master Trust Small Business Segment

and the Bank Small Business Segment ⁽¹⁾


	Master Trust Small Business Segment									Bank Small Business Segment
	Year Ended									Year Ended
	2011			2010			2009			2011			2010			2009			2008
Average Principal Receivables Outstanding (2)	$	4,245,062		$	4,822,529		$	4,612,475		$	4,699,014		$	5,117,852		$	5,631,043		$	5,421,175
Average Accounts		2,291,122			2,476,983			2,400,357			2,550,484			2,608,530			3,005,478			3,483,535
Gross Losses	$	359,460		$	636,602		$	586,841		$	375,498		$	651,126		$	693,144		$	428,098
Gross Losses as a Percentage of Average Principal Receivables Outstanding		8.47	%		13.20	%		12.72	%		7.99	%		12.72	%		12.31	%		7.90	%
Recoveries	$	76,580		$	69,335		$	35,108		$	92,495		$	89,260		$	71,256		$	68,139
Net Losses	$	282,880		$	567,267		$	551,733		$	283,003		$	561,866		$	621,888		$	359,959
Net Losses as a Percentage of Average Principal Receivables Outstanding		6.66	%		11.76	%		11.96	%		6.02	%		10.98	%		11.04	%		6.64	%
Accounts Experiencing a Loss		85,827			153,713			164,398			96,017			159,105			199,009			152,474
Accounts Experiencing a Loss as a Percentage of Average Accounts Outstanding		3.75	%		6.21	%		6.85	%		3.76	%		6.10	%		6.62	%		4.38	%
Average Net Loss of Accounts with a Loss⁽¹⁾	$	3,296		$	3,690		$	3,356		$	2,947		$	3,531		$	3,125		$	2,361

⁽¹⁾	All dollar amounts in this table are expressed as dollars in thousands, except for Average Net Loss of Accounts with a Loss, which is expressed as actual dollars.

⁽²⁾	Calculated based on (a) the daily average of Principal Receivables Outstanding for the Master Trust Small Business Segment and (b) the average of the beginning of month Principal Receivables Outstanding and the end of month Principal Receivables Outstanding for the Bank Small Business Segment.

Loss Experience for the Master Trust Small Business Segment

and the Bank Small Business Segment⁽¹⁾ (cont)


	Bank Small Business Segment
	Year Ended
	2007			2006
Average Principal Receivables Outstanding (2)	$	4,914,880		$	4,716,488
Average Accounts		3,600,834			3,618,361
Gross Losses	$	276,859		$	206,341
Gross Losses as a Percentage of Average Principal Receivables Outstanding		5.63	%		4.37	%
Recoveries	$	63,611		$	52,663
Net Losses	$	213,248		$	153,677
Net Losses as a Percentage of Average Principal Receivables Outstanding		4.34	%		3.26	%
Accounts Experiencing a Loss		117,470			108,400
Accounts Experiencing a Loss as a Percentage of Average Accounts Outstanding		3.26	%		3.00	%
Average Net Loss of Accounts with a Loss ⁽¹⁾	$	1,815		$	1,418

⁽¹⁾	All dollar amounts in this table are expressed as dollars in thousands, except for Average Net Loss of Accounts with a Loss, which is expressed as actual dollars.

⁽²⁾	Calculated based on (a) the daily average of Principal Receivables Outstanding for the Master Trust Small Business Segment and (b) the average of the beginning of month Principal Receivables Outstanding and the end of month Principal Receivables Outstanding for the Bank Small Business Segment.

Revenue Experience

The following tables set forth the revenues from finance charges and fees billed and interchange received with respect to the Master Trust Segments and the Bank Small Business Segment for each of the periods shown.

Revenue Experience for the Master Trust Consumer Segment ⁽¹⁾

(Dollars in Thousands)


	Year Ended
	2011			2010			2009			2008			2007			2006
Average Principal Receivables Outstanding ⁽²⁾	$	35,528,630		$	37,794,471		$	41,695,147		$	43,419,060		$	42,778,014		$	40,335,995
Finance Charges and Fees ⁽³⁾	$	5,349,589		$	5,695,352		$	6,295,141		$	7,217,128		$	7,473,944		$	6,368,438
Yield from Finance Charges and Fees		15.06	%		15.07	%		15.10	%		16.62	%		17.47	%		15.79	%
Interchange	$	1,493,515		$	1,312,243		$	1,256,056		$	1,381,684		$	1,403,438		$	1,295,353
Yield from Interchange		4.20	%		3.47	%		3.01	%		3.18	%		3.28	%		3.21	%

⁽¹⁾	The percentages are calculated by dividing the amount of prior month billed finance charges and fees, and interchange by the average principal receivables outstanding for the applicable period.

⁽²⁾	Calculated based on the daily average of Principal Receivables Outstanding.

⁽³⁾

Finance Charges and Fees do not include interest on subsequent collections on accounts previously charged off. Finance Charges and Fees include monthly periodic rate finance charges, the portion of the annual membership fees amortized on a monthly basis, cash advance fees, late charges, overlimit fees and other miscellaneous fees.

Revenue Experience for the Master Trust Small Business Segment

and the Bank Small Business Segment⁽¹⁾

(Dollars in Thousands)


	Master Trust Small									Bank Small
	Business Segment									Business Segment
	Year Ended									Year Ended
	2011			2010			2009			2011			2010			2009
Average Principal Receivables Outstanding ⁽²⁾	$	4,245,062		$	4,822,529		$	4,612,475		$	4,699,014		$	5,117,852		$	5,631,043
Finance Charges and Fees ⁽³⁾	$	603,429		$	683,725		$	617,128		$	655,009		$	709,293		$	736,655
Yield from Finance Charges and Fees		14.21	%		14.18	%		13.38	%		13.94	%		13.86	%		13.08	%
Interchange	$	410,071		$	404,267		$	356,232		$	488,592		$	446,806		$	437,190
Yield from Interchange		9.66	%		8.38	%		7.72	%		10.40	%		8.73	%		7.76	%


	Bank Small Business Segment
	Year Ended
	2008			2007			2006
Average Principal Receivables Outstanding ⁽²⁾	$	5,421,175		$	4,914,880		$	4,716,488
Finance Charges and Fees ⁽³⁾	$	765,591		$	721,503		$	627,030
Yield from Finance Charges and Fees		14.12	%		14.68	%		13.29	%
Interchange	$	476,033		$	469,853		$	430,872
Yield from Interchange		8.78	%		9.56	%		9.14	%

⁽¹⁾	The percentages are calculated by dividing the amount of prior month billed finance charges and fees, and interchange by the average principal receivables outstanding for the applicable period.

⁽²⁾	Calculated based on (a) the daily average of Principal Receivables Outstanding for the Master Trust Small Business Segment and (b) the average of the beginning of month Principal Receivables Outstanding and the end of month Principal Receivables Outstanding for the Bank Small Business Segment.

⁽³⁾

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. 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 those fees and charges or by other factors.

The revenue from finance charges and fees for the Master Trust Segments and the Bank Small Business Segment shown in the above tables are comprised of three primary components: periodic rate finance charges, the amortized portion of annual membership fees and other 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.

The Master Trust Segments and the Bank Small Business Segment may experience growth in receivables through the originator’s origination of accounts having an introductory period during which a relatively low annual percentage rate is charged. As the introductory period on these accounts expire, the originator may choose to waive all or part of the annual percentage rate increase for such accounts. Under these circumstances, the yield related to monthly periodic rate finance charges would be adversely affected. The impact of service charges on the Master Trust Segments’ and the Bank Small Business Segment’s yield 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 aggregate account balances increase, annual membership fees, which remain constant, represent a smaller percentage of the aggregate account balances.

Payment Rates

The following tables set forth the highest and lowest accountholder monthly payment rates for the Master Trust Segments and the Bank Small Business Segment 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 on the accounts.

Accountholder Monthly Payment Rates

for the Master Trust Consumer Segment ⁽¹⁾


	Year Ended
	2011			2010			2009			2008			2007			2006
Lowest Month ⁽²⁾		16.91	%		14.51	%		12.96	%		13.11	%		15.59	%		15.34	%
Highest Month ⁽²⁾		20.28	%		17.81	%		15.88	%		17.32	%		18.23	%		18.25	%
Average Payment Rate for the Period		19.00	%		16.23	%		14.51	%		15.82	%		16.82	%		16.28	%

⁽¹⁾	The monthly payment rates include amounts which are payments of principal receivables with respect to the accounts.

⁽²⁾

The monthly principal payment rate for any month is calculated as the total amount of principal payments received during such month divided by the sum of (i) the amount of principal receivables outstanding as of the beginning of such month and (ii) with respect to accounts added to the Master Trust Consumer Segment during such month, the amount of principal receivables outstanding in such accounts as of the related addition date. For each period presented, the principal payment rate is calculated as the average of the monthly principal payment rates during such period.

Accountholder Monthly Payment Rates

for the Master Trust Small Business Segment

and the Bank Small Business Segment ⁽¹⁾


	Master Trust Small
	Business Segment									Bank Small Business Segment
	Year Ended									Year Ended
	2011			2010			2009			2011			2010			2009			2008			2007			2006
Lowest Month ⁽²⁾		30.27	%		26.40	%		22.35	%		31.76	%		26.81	%		23.79	%		28.54	%		31.11	%		31.10	%
Highest Month ⁽²⁾		40.72	%		35.33	%		31.99	%		43.65	%		36.89	%		32.43	%		34.14	%		36.93	%		37.38	%
Average Payment Rate for the Period		35.56	%		31.19	%		27.73	%		37.70	%		32.07	%		28.39	%		32.29	%		34.94	%		34.41	%

⁽¹⁾	The monthly payment rates include amounts which are payments of principal receivables with respect to the accounts.

⁽²⁾

The monthly principal payment rate for any month is calculated (a) for the Master Trust Small Business Segment, as the total amount of principal payments received during such month divided by the sum of (i) the amount of principal receivables outstanding as of the beginning of such month and (ii) with respect to accounts added to the Master Trust Small Business Segment during such month, the amount of principal receivables outstanding in such accounts as of the related addition date and (b) for the Bank Small Business Segment, as the total amount of principal payments received during such month divided by the amount of principal receivables outstanding as of the beginning of such month. For each period presented, the principal payment rate is calculated as the average of the monthly principal payment rates during such period.

The Receivables

For the Master Trust Consumer Segment as of December 31, 2011:

•

the accounts included $36,650,108,686 of principal receivables and $723,006,283 of finance charge receivables;

•

the accounts had an average principal receivable balance of $1,753 and an average credit limit of $7,165;

•

the percentage of the aggregate total receivable balance to the aggregate total credit limit was 24.95%;

•

the average age of the accounts was approximately 90 months; and

•

approximately 86.03% of the accounts were assessed a variable rate periodic finance charge and approximately 13.97% were assessed a fixed rate periodic finance charge.

For the Master Trust Consumer Segment as of the month ended December 31, 2011:

•

10.26% of the accounts made the minimum payments as of their respective latest statement date, in each case based on the prior month statement minimum payment; and

•

18.64% of the accounts made at least full payments as of their respective latest statement date, in each case based on the prior month statement outstanding balance.

For the Master Trust Small Business Segment as of December 31, 2011:

•

the accounts included $4,070,371,852 of principal receivables and $65,716,487 of finance charge receivables;

•

the accounts had an average principal receivable balance of $1,794 and an average credit limit of $8,236;

•

the percentage of the aggregate total receivable balance to the aggregate total credit limit was 22.13%;

•

the average age of the accounts was approximately 88 months; and

•

approximately 91.22% of the accounts were assessed a variable rate periodic finance charge and approximately 8.78% were assessed a fixed rate periodic finance charge.

For the Master Trust Small Business Segment as of the month ended December 31, 2011:

•

4.23% of the accounts made the minimum payments as of their respective latest statement date, in each case based on the prior month statement minimum payment; and

•

25.04% of the accounts made at least full payments as of their respective latest statement date, in each case based on the prior month statement outstanding balance.

The following tables summarize the Master Trust Consumer Segment and the Master Trust Small Business Segment by various criteria as of December 31, 2011. References to “Receivables Outstanding” in the following tables include both finance charge receivables and principal receivables. Because the future composition of the Master Trust Consumer Segment and the Master Trust Small Business Segment may change over time, these tables are not necessarily indicative of the composition of the Master Trust Consumer Segment and the Master Trust Small Business Segment at any specific time in the future.

Composition by Account Balance

Master Trust Consumer Segment


			% of Total						% of Total
	Number of		Number			Receivables			Receivables
Account Balance Range	Accounts		of Accounts			Outstanding			Outstanding
Credit Balance ⁽¹⁾		131,755		0.63	%	$	(16,597,695	)		(0.04	%)
No Balance ⁽²⁾		5,771,481		27.61			0.00			0.00
More than $ 0 and less than or equal to $ 1,500.00		8,167,568		39.07			4,804,033,571			12.85
$ 1,500.01-$ 5,000.00		4,849,554		23.20			13,911,810,505			37.22
$ 5,000.01-$ 10,000.00		1,368,785		6.55			9,428,365,846			25.23
Over $ 10,000.00		614,524		2.94			9,245,502,743			24.74

TOTAL		20,903,667		100.00	%	$	37,373,114,970			100.00	%

⁽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 to those accounts in the future.

⁽²⁾	Accounts which currently have no balance are included because receivables may be generated with respect to those accounts in the future. Zero balance accounts described in “The Master Trust—The Receivables” in the accompanying prospectus are not included in these figures.

Composition by Account Balance

Master Trust Small Business Segment


			% of Total						% of Total
	Number of		Number			Receivables			Receivables
Account Balance Range	Accounts		of Accounts			Outstanding			Outstanding
Credit Balance ⁽¹⁾		15,931		0.70	%	$	(5,589,739	)		(0.14	%)
No Balance ⁽²⁾		960,705		42.34			0.00			0.00
More than $ 0 and less than or equal to $ 1,500.00		634,762		27.97			359,638,481			8.70
$ 1,500.01-$ 5,000.00		400,544		17.65			1,195,917,799			28.91
$ 5,000.01-$ 10,000.00		161,611		7.12			1,114,258,421			26.94
Over $ 10,000.00		95,572		4.21			1,471,863,377			35.59

TOTAL		2,269,125		100.00	%	$	4,136,088,339			100.00	%

⁽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 to those accounts in the future.

⁽²⁾	Accounts which currently have no balance are included because receivables may be generated with respect to those accounts in the future. Zero balance accounts described in “The Master Trust—The Receivables” in the accompanying prospectus are not included in these figures.

Composition by Credit Limit ⁽¹⁾

Master Trust Consumer Segment


			% of Total					% of Total
	Number of		Number			Receivables		Receivables
Credit Limit Range	Accounts		of Accounts			Outstanding		Outstanding
Less than or equal to $ 1,500.00		6,272,959		30.01	%	$	2,718,671,700		7.27	%
$ 1,500.01-$ 5,000.00		6,098,706		29.18			9,799,578,539		26.22
$ 5,000.01-$ 10,000.00		3,421,528		16.37			7,712,766,067		20.64
Over $ 10,000.00		5,110,474		24.45			17,142,098,664		45.87

TOTAL		20,903,667		100.00	%	$	37,373,114,970		100.00	%

⁽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 the accounts.

Composition by Credit Limit⁽¹⁾

Master Trust Small Business Segment


			% of Total					% of Total
	Number of		Number			Receivables		Receivables
Credit Limit Range	Accounts		of Accounts			Outstanding		Outstanding
Less than or equal to $ 1,500.00		560,299		24.69	%	$	141,676,233		3.43	%
$ 1,500.01-$ 5,000.00		573,245		25.26			685,413,297		16.57
$ 5,000.01-$ 10,000.00		467,738		20.61			901,724,048		21.80
Over $ 10,000.00		667,843		29.43			2,407,274,762		58.20

TOTAL		2,269,125		100.00	%	$	4,136,088,339		100.00	%

⁽¹⁾

Composition by Payment Status

Master Trust Consumer Segment


			% of Total				% of Total
	Number of		Number		Receivables		Receivables
Payment Status	Accounts		of Accounts		Outstanding		Outstanding
Current to 29 days ⁽¹⁾		20,348,277		97.34%	$	36,109,053,864		96.62%
Past due 30 – 59 days		182,308		0.87		364,281,300		0.97
Past due 60 – 89 days		118,628		0.57		269,003,618		0.72
Past due 90 – 119 days		101,855		0.49		239,371,390		0.64
Past due 120 – 149 days		82,853		0.40		207,161,532		0.55
Past due 150 days or more		69,746		0.33		184,243,266		0.49

TOTAL		20,903,667		100.00%	$	37,373,114,970		100.00%

⁽¹⁾	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 Payment Status

Master Trust Small Business Segment


			% of Total				% of Total
	Number of		Number		Receivables		Receivables
Payment Status	Accounts		of Accounts		Outstanding		Outstanding
Current to 29 days⁽¹⁾		2,233,236		98.42%	$	3,982,804,345		96.29%
Past due 30 – 59 days		11,895		0.52		41,927,702		1.01
Past due 60 – 89 days		7,676		0.34		32,544,041		0.79
Past due 90 – 119 days		6,318		0.28		27,891,964		0.67
Past due 120 – 149 days		5,205		0.23		25,752,606		0.62
Past due 150 days or more		4,795		0.21		25,167,681		0.61

TOTAL		2,269,125		100.00%	$	4,136,088,339		100.00%

⁽¹⁾	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

Master Trust Consumer Segment


			% of Total					% of Total
	Number of		Number			Receivables		Receivables
Account Age	Accounts		of Accounts			Outstanding		Outstanding
Not More than 6 Months		264,551		1.27	%	$	328,207,961		0.88	%
Over 6 Months to 12 Months		663,102		3.17			1,034,081,161		2.77
Over 12 Months to 24 Months		1,187,853		5.68			1,533,049,625		4.10
Over 24 Months to 36 Months		783,051		3.75			1,327,805,963		3.55
Over 36 Months to 48 Months		1,558,597		7.46			2,543,655,202		6.81
Over 48 Months to 60 Months		1,387,355		6.64			2,374,598,600		6.35
Over 60 Months		15,059,158		72.04			28,231,716,457		75.54

TOTAL		20,903,667		100.00	%	$	37,373,114,970		100.00	%

Composition by Account Age

Master Trust Small Business Segment


			% of Total					% of Total
	Number of		Number			Receivables		Receivables
Account Age	Accounts		of Accounts			Outstanding		Outstanding
Not More than 6 Months		5,444		0.24	%	$	9,417,659		0.23	%
Over 6 Months to 12 Months		16,691		0.74			24,971,076.00		0.60
Over 12 Months to 24 Months		21,379		0.94			38,623,826		0.93
Over 24 Months to 36 Months		63,396		2.79			144,280,630		3.49
Over 36 Months to 48 Months		210,286		9.27			445,380,436		10.77
Over 48 Months to 60 Months		169,253		7.46			425,058,648		10.28
Over 60 Months		1,782,676		78.56			3,048,356,065		73.70

TOTAL		2,269,125		100.00	%	$	4,136,088,339		100.00	%

Composition by Accountholder Billing Address

Master Trust Consumer Segment


State or Territory	Number of Accounts		% of Total Number of Accounts			Receivables Outstanding		% of Total Receivables Outstanding
California		2,419,993		11.58	%	$	4,264,497,450		11.41	%
New York		1,524,691		7.29			2,540,305,694		6.80
Texas		1,511,722		7.23			2,434,523,951		6.51
Florida		1,334,034		6.38			2,258,744,458		6.04
Pennsylvania		952,080		4.55			1,678,609,050		4.49
Illinois		932,576		4.46			1,711,531,434		4.58
New Jersey		779,662		3.73			1,397,037,989		3.74
Ohio		772,508		3.70			1,450,824,601		3.88
Virginia		608,381		2.91			1,182,366,771		3.16
Michigan		607,590		2.91			1,162,793,977		3.11
Others ⁽¹⁾		9,460,430		45.26			17,291,879,594		46.27

TOTAL		20,903,667		100.00	%	$	37,373,114,970		100.00	%

⁽¹⁾	No other state individually accounts for greater than or equal to 2.91% of the % of Total Number of Accounts in the Master Trust Consumer Segment.

Composition by Accountholder Billing Address

Master Trust Small Business Segment


State or Territory	Number of Accounts		% of Total Number of Accounts			Receivables Outstanding		% of Total Receivables Outstanding
California		298,380		13.15	%	$	542,355,747		13.11	%
Texas		175,090		7.72			268,899,539		6.50
Florida		168,927		7.44			297,894,563		7.20
New York		145,315		6.40			249,033,162		6.02
Pennsylvania		87,802		3.87			164,565,963		3.98
Illinois		86,744		3.82			168,844,241		4.08
New Jersey		76,038		3.35			145,729,423		3.52
Michigan		66,263		2.92			124,254,138		3.00
Ohio		65,827		2.90			122,875,433		2.97
Massachusetts		57,313		2.53			118,860,384		2.87
Others ⁽¹⁾		1,041,426		45.90			1,932,775,747		46.73

TOTAL		2,269,125		100.00	%	$	4,136,088,339		100.00	%

⁽¹⁾	No other state individually accounts for greater than or equal to 2.53% of the % of Total Number of Accounts in the Master Trust Small Business Segment.

Since the largest number of accountholders (based on billing addresses) whose accounts were included in the master trust as of December 31, 2011 were in California, Florida, Texas and New York, adverse economic conditions affecting accountholders residing in these areas could affect timely payment by the related accountholders of amounts due on the accounts and, accordingly, the actual rates of delinquencies and losses with respect to the Master Trust Portfolio.

FICO^®*. The following two tables summarize the Master Trust Consumer Segment and the Master Trust Small Business Segment by FICO^® score. A FICO^® score is a measurement determined by Fair, Isaac & Company using information collected by the major credit bureaus to assess credit risk. The bank obtains, to the extent available, FICO^® scores at the origination of each account and each month thereafter. In the following two tables, Receivables Outstanding are determined as of December 31, 2011, and FICO^® scores are determined

*	FICO^® is a federally registered servicemark of Fair, Isaac & Company.

during the month of December 2011. References to “Receivables Outstanding” in the following two tables include both finance charge receivables and principal receivables. Because the future composition of the Master Trust Consumer Segment and the Master Trust Small Business Segment may change over time, these tables are not necessarily indicative of the composition of the Master Trust Consumer Segment and the Master Trust Small Business Segment at any specific time in the future. FICO^® scores may change over time, depending on the conduct of the accountholder and changes in credit score technology.

Composition by FICO^® Score

Master Trust Consumer Segment


FICO^® Score ⁽¹⁾	Receivables Outstanding		% of Total Receivables Outstanding
No score	$	140,552,170		0.38	%
Less than or equal to 600		4,146,656,890		11.10
601-660		5,423,389,250		14.51
661-720		11,009,516,479		29.46
Greater than 720		16,653,000,181		44.56

TOTAL	$	37,373,114,970		100.00	%

⁽¹⁾	The FICO^® score is the Equifax Enhanced Beacon 5.0 FICO^® score.

Composition by FICO^® Score

Master Trust Small Business Segment⁽¹⁾


FICO^® Score⁽²⁾	Receivables Outstanding		% of Total Receivables Outstanding
No score	$	28,906,819		0.70	%
Less than or equal to 600		437,244,610		10.57
601-660		479,906,810		11.60
661-720		1,227,585,561		29.68
Greater than 720		1,962,444,538		47.45

TOTAL	$	4,136,088,339		100.00	%

⁽¹⁾	With respect to the receivables in the Master Trust Small Business Segment, although the business owner and the business are jointly and severally liable for account balances, only the FICO^® scores of the business owners are reflected in this table.

⁽²⁾	The FICO^® score is the Equifax Enhanced Beacon 5.0 FICO^® score.

Data from an independent credit reporting agency, such as FICO^® score, is one of several factors that may be used by the bank in its credit scoring system to assess the credit risk associated with each applicant or signing individual, as applicable. Additionally, FICO^® scores are based on independent third party information, the accuracy of which cannot be verified. FICO^® scores should not necessarily be relied upon as a meaningful predictor of the performance of the receivables in the Master Trust Consumer Segment or the Master Trust Small Business Segment.

Static Pool Information

Static pool information regarding the performance of the receivables in the Master Trust Consumer Segment and the Bank Small Business Segment is available through an Internet Web site at www.capitalone.com/staticpool. Static pool information for the Master Trust Consumer Segment and the Bank Small Business Segment for periods prior to January 1, 2003 is not available and cannot be obtained without unreasonable expense or effort.

Glossary of Terms

“Bank Consumer Segment” means the portfolio of consumer credit card accounts owned by the bank.

“Bank Portfolio” means the portfolio of MasterCard and VISA accounts and other revolving credit accounts owned by the bank and its predecessor.

“Bank Small Business Segment” means the portfolio of small business credit card accounts owned by the bank.

“finance charge receivables” shall mean receivables created in respect of periodic finance charges, cash advance fees, late charge fees, overlimit fees, returned check charges, annual membership fees, and all other incidental and miscellaneous fees and charges, including charges for credit insurance.

“Master Trust Cut-Off Date” means June 30, 1993.

“Master Trust Consumer Segment” means the consumer revolving credit card accounts selected from the Bank Consumer Segment the receivables in which have been designated to be included in the master trust as of the Master Trust Cut-Off Date, and, for additional accounts, as of the related date of their designation, based on the eligibility criteria set forth in the pooling agreement and which accounts have not been removed from the master trust.

“Master Trust Portfolio” means the credit card accounts selected from the Bank Portfolio the receivables in which have been designated to be included in the master trust as of the Master Trust Cut-Off Date and, for additional accounts, as of the related date of their designation, based on the eligibility criteria set forth in the pooling agreement and which accounts have not been removed from the master trust.

“Master Trust Small Business Segment” means the small business revolving credit card accounts selected from the Bank Small Business Segment the receivables in which have been designated to be included in the master trust as of the related date of their designation, based on the eligibility criteria set forth in the pooling agreement and which accounts have not been removed from the master trust.

“principal receivables” shall mean all receivables other than finance charge receivables.

“receivables” means all amounts shown on Capital One’s records as amounts payable by obligors on any account from time to time, including amounts payable for principal receivables and finance charge receivables.