Capital One 2009 Annual Report Download - page 181

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Company. The expected amortization period of this trust is fourteen months, which is consistent with the expected amortization period
prior to hitting the trigger. No early amortization events related to the Company’s off-balance sheet securitizations have occurred for
the years ended December 31, 2009, 2008 or 2007 with the exception of that described above.
Collections of interest and fees received on securitized receivables are used to pay interest to investors, servicing and other fees, and
are available to absorb the investors’ share of credit losses. Amounts collected in excess of that needed to pay the above amounts are
remitted, in general, to the Company. Under certain conditions, some of the cash collected may be retained to ensure future payments
to investors.
The following provides the details of the cash flow related to securitization transactions for the years ended December 31, 2009 and
2008:
Year Ended December 31
2009 2008
Proceeds from new securitizations ........................................................................................................
.
$ 12,068,309 $ 10,046,699
Collections reinvested in revolving securitizations ...............................................................................
.
70,895,890 85,351,341
Repurchases of accounts from the trust ................................................................................................
.
9,210 251,776
Servicing fees received .........................................................................................................................
.
879,271 956,163
Cash flows received on retained interests (1) .........................................................................................
.
$ 5,252,263 $ 6,374,957
(1) Includes all cash receipts of excess spread and other payments (excluding servicing fees) from the trust to the Company.
For the year ended December 31, 2009 the Company recognized gross gains of $40.6 million on both the public and private sale of
$12.1 billion of loan principal receivables compared to gross gains of $58.4 million on the sale of $10.0 billion of loan principal
receivables for the year ended December 31, 2008 and gross gains of $63.8 million on the sale of $12.6 billion of loans for the year
ended December 31, 2007. These gross gains are included in servicing and securitizations income. In addition, the Company
recognized, as a reduction to servicing and securitizations income, upfront securitization transaction costs and recurring credit facility
commitment fees of $48.9 million, $43.9 million, and $45.0 million for the years ended December 31, 2009, 2008, and 2007
respectively. The remainder of servicing and securitizations income represents servicing income and excess interest and non-interest
income generated by the transferred receivables, less the related net losses on the transferred receivables and interest expense related
to the securitization debt.
Supplemental Loan Information
Loans included in securitization transactions which qualify as sales under U.S. 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.
Year Ended December 31
2009 2008
Loans
Outstanding Loans
Delinquent Loans
Outstanding
Loans
Delinquent
Managed loans ..................................................................... $ 136,802,902 $ 6,465,158 $ 146,936,754 $ 6,596,223
Securitization adjustments ................................................... (46,183,903) (2,718,894) (45,918,983) (2,178,400)
Reported loans ..................................................................... $ 90,618,999 $ 3,746,264 $ 101,017,771 $ 4,417,823
Average Loans Net Charge-Offs Average Loans
Net Charge-Offs
Managed loans ..................................................................... $ 143,514,416 $ 8,420,634 $ 147,812,266 $ 6,424,937
Securitization adjustments ................................................... (43,727,131) (3,853,000) (48,841,363) (2,946,766)
Reported loans ..................................................................... $ 99,787,285 $ 4,567,634 $ 98,970,903 $ 3,478,171
Off-Balance Sheet Securitizations –Mortgage
The Company periodically sells various loan receivables through asset-backed securitizations, in which receivables which are
transferred to trusts and certificates are sold to investors. The outstanding trust certificate balance at December 31, 2009 was $4.6
billion. There were no loans sold into new trusts during the period and no gains recognized during the period.
The Company continues to service and receive servicing fees on the outstanding balance of securitized receivables. The Company also
retains rights, which may be subordinated, to future cash flows arising from the receivables. The Company generally estimates the fair
value of these retained interests based on the estimated present value of expected future cash flows from securitized and sold