Capital One 2008 Annual Report Download - page 157

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139
Note 18
Securitizations
The Company actively engages in securitization transactions of loans for funding purposes. The Company receives the proceeds from
third party investors for securities issued from the Companys securitization vehicles which are collateralized by transferred
receivables from the Companys portfolio. The Company removes loans from the reported financial statements for securitizations that
qualify as sales in accordance with SFAS 140. Alternatively, when the transfer would not be considered a sale but rather a financing,
the assets will remain on the Companys reported financial statements with an offsetting liability recognized in the amount of proceeds
received. Loans included in securitization transactions which qualify as sales under GAAP have been removed from the Companys
reported balance sheet, but are included within the managed financial information, as shown in the table below.
Supplemental Loan Information
Year Ended December 31
2008
2007
Loans
Outstanding
Loans
Delinquent
Loans
Outstanding
Loans
Delinquent
Managed loans ..................................................................... $ 146,936,754 $ 6,596,223
$ 151,362,417 $ 5,863,797
Securitization adjustments ................................................... (45,918,983) (2,178,400) (49,557,390) (2,142,353)
Reported loans ..................................................................... $ 101,017,771 $ 4,417,823
$ 101,805,027 $ 3,721,444
Average Loans
Net Charge-Offs
Average Loans
Net Charge-Offs
Managed loans ..................................................................... $ 147,812,266 $ 6,424,937
$ 144,727,007 $ 4,161,995
Securitization adjustments ................................................... (48,841,363) (2,946,766) (51,185,182) (2,201,454)
Reported loans ..................................................................... $ 98,970,903 $ 3,478,171
$ 93,541,825 $ 1,960,541
Accounts Receivable from Securitizations
Year Ended December 31
2008
2007
Interest-only strip classified as trading .....................................................................................................
.
$ 122,949
$ 408,013
Retained interests classified as trading .....................................................................................................
.
594,283
714,122
Retained interests classified as available for sale......................................................................................
.
753,153
173,363
Other retained interests (1) ..........................................................................................................................
.
831,275
965,865
Total retained residual interests.......................................................................................................
.
2,301,660
2,261,363
Collections on deposit for off balance sheet securitizations (2) ..................................................................
.
3,313,493
1,148,306
Collections on deposit for secured borrowings.........................................................................................
.
727,601
1,308,210
Total accounts receivable from securitizations................................................................................
.
$ 6,342,754 $ 4,717,879
(1) Other retained interests primarily includes investor accrued billed and unbilled interest receivable, net of related finance charge
and fee reserve.
(2) Collections on deposit for off-balance sheet securitizations includes $1.755 billion and $123 million of principal collections
accumulated for expected maturities of securitization transactions as of December 31, 2008 and 2007, respectively.
Off-Balance Sheet Securitizations
Off-balance sheet securitizations involve the transfer of pools of loan receivables by the Company to one or more third-party trusts or
QSPEs in transactions that are accounted for as sales in accordance with SFAS 140. The trusts can engage only in limited business
activities to maintain QSPE status. Certain undivided interests in the pool of loan receivables are sold to external investors as asset-
backed securities in public underwritten offerings or private placement transactions. The proceeds from off-balance sheet
securitizations are distributed by the trusts to the Company as consideration for the loan receivables transferred. Each new off-balance
sheet securitization results in the removal of loan principal receivables equal to the sold undivided interests in the pool of loan
receivables (off-balance sheet loans), the recognition of certain retained residual interests and a gain on the sale. Securities held by
external investors totaling $44.3 billion and $48.2 billion as of December 31, 2008 and 2007, respectively, represent undivided
interests in the pools of loan receivables that are sold in underwritten offerings or in private placement transactions.