Capital One 2010 Annual Report Download - page 147

CAPITAL ONE FINANCIAL CORPORATION
NOTES TO CONSOLIDATED STATEMENTS
127
NOTE 7—VARIABLE INTEREST ENTITIES AND SECURITIZATIONS
In the normal course of business, we are involved with various entities that are considered to be VIEs. The following table presents the
carrying amount of assets and liabilities of those VIEs for which we are the primary beneficiary and the carrying amount of assets and
liabilities and maximum exposure to loss of those VIEs of which we are not the primary beneficiary, but hold a variable interest. To
provide the necessary disclosures, we aggregate similar VIEs based on the nature and purpose of the entities. Securitization related
VIEs are only displayed for the period ending December 31, 2010, as transactions prior to January 1, 2010 were conducted through
QSPEs or accounted for as secured borrowings and thus were not subject to VIE accounting.
Consolidated Non-Consolidated
(Dollars in millions)
Carrying
Amount of
Assets
Carrying
Amount of
Liabilities
Carrying
Amount of
Assets(1)
Carrying
Amount of
Liabilities(2)
Maximum
Exposure to
Loss(3)
VIEs, December 31, 2010
Securitization related VIEs
Credit card securitizations . . . . . . . . . . . . . . . . $ 53,694 $ 25,622 $ 0 $ 0 $ 0
Auto securitizations .. . . . . . . . . . . . . . . . . . . . . 1,784 1,518 0 0 0
Mortgage securitizations .. . . . . . . . . . . . . . . . 0 0 174 37 297
Other securitizations . . . . . . . . . . . . . . . . . . . . . 198 64 0 0 0
Total securitization related VIEs . . . . . . . . . . . 55,676 27,204 174 37 297
Other VIEs
Affordable housing entities . . . . . . . . . . . . . . 0 0 1,681 304 1,681
Entities that provide capital to low-
income and rural communities . . . . . . . . . 230 0 6 3 6
Other ..................................... 0 0 174 0 174
Total Other VIEs ........................... 230 0 1,861 307 1,861
Total VIEs .................................... $ 55,906 $ 27,204 $ 2,035 $ 344 $ 2,158
VIEs, December 31, 2009
Affordable housing entities . . . . . . . . . . . . . . . . . $ 0 $ 0 $ 1,401 $ 638 $ 1,401
Entities that provide capital to low-income
and rural communities . . . . . . . . . . . . . . . . . . . . 155 0 58 2 58
Other ....................................... 0 0 203 0 203
Total VIEs . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 155 $ 0 $ 1,662 $ 640 $ 1,662
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(1) The carrying amount of assets of securitization related VIEs is comprised of retained interests reported as accounts receivable from
securitizations and letters of credit related to manufactured housing securitizations, separately disclosed in the Accounts Receivable from
Securitizations and Other Mortgage Securitizations sections of this Note, respectively. See “Note 8—Goodwill and Other Intangible Assets” for
carrying value of mortgage servicing rights related to unconsolidated VIEs.
(2) The carrying amount of liabilities of securitization related VIEs is comprised of obligations to fund negative amortization bonds associated with
the securitization of option arm mortgage loans and obligations on certain swap agreements associated with the securitization of manufactured
housing loans.
(3) The maximum exposure to loss represents the amount of loss we would incur in the unlikely event that all of our assets in the VIEs became
worthless and we were required to meet our maximum remaining funding obligations.
Securitization Related VIEs
The majority of our VIE activity is related to our securitization programs which have historically been utilized for liquidity and
funding purposes. We receive the proceeds from third party investors for debt securities issued from securitization trusts which are
collateralized by transferred receivables from our portfolio. We remove loans from our consolidated balance sheet when
securitizations qualify as sales to non-consolidated VIEs. Alternatively, when the transfer does not qualify as a sale, but instead is
considered a secured borrowing, or when the sale is to a consolidated VIE, the assets will remain on our consolidated financial
statements with an offsetting liability recognized for the amount of proceeds received.
For periods prior to January 1, 2010, we used QSPEs to conduct the majority of our securitization transactions. Those transactions
previously qualified as sales to non-consolidated trusts, resulting in off-balance sheet treatment of all of the assets and liabilities of the
trusts, including the securitized loans and the securities issued to third parties. Effective January 1, 2010, we adopted the new
consolidation guidance which removed the concept of a QSPE resulting in the consolidation of our credit card trusts, one installment
loan trust, and certain mortgage trusts. We were considered to be the primary beneficiary of the impacted trusts due to the combination
of power over the activities that most significantly impact the economic performance of the trusts through the right to service the