Capital One 2010 Annual Report Download - page 148

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CAPITAL ONE FINANCIAL CORPORATION
NOTES TO CONSOLIDATED STATEMENTS
128
securitized loans and the obligation to absorb losses or the right to receive benefits that could potentially be significant to the trusts
through our retained interests.
The following table presents the external debt and receivable balances of our securitization programs, information regarding our
ongoing involvement in the structures, and any gains/losses recognized on transferred assets for the periods ended December 31, 2010
and 2009.
Non-Mortgage Mortgage
(Dollars in millions) Credit Card Other Loan Auto Loan Option Arm GreenPoint
HELOCs GreenPoint
MFH
December 31, 2010
Securities held by external investors .... $ 25,415 $ 48 $ 1,453 $ 1,311 $ 284 $ 1,501
Receivables in the trust ................ 52,355 191 1,528 1,405 284 1,393
Cash balance of spread or reserve
accounts ........................... 77 0 147 8 0 183
Gains/(losses) recognized on sales ...... 0 0 0 0 0 0
Retained interests ..................... Yes Yes Yes Yes Yes Yes
Servicing retained ..................... Yes Yes Yes Yes(3) Yes(3) No
Amortization event .................... No No No No Yes(2) No
December 31, 2009
Securities held by external investors .... $ 42,523 $ 260 $ 4,035 $ 4,584 $ 383 $ 1,665
Receivables in the trust................. 45,778 406 4,166 4,642 383 1,672
Cash balance of spread or reserve
accounts ........................... 161 0 281 9 0 204
Gains recognized on sales ............. 2 39 0 0 0 0
Retained interests ..................... Yes Yes Yes Yes Yes Yes
Servicing retained ..................... Yes Yes Yes Yes(3) Yes(3) No
Amortization event .................... No Yes(1) No No Yes(2) No
________________________
(1) One installment loan program breached an amortization trigger in the first quarter of 2009 which moved the program from pro- rata to
sequential amortization. We exercised our clean-up call option on this installment loan program on September 15, 2010.
(2) See information below regarding on-going involvement in the GreenPoint Home Equity Line of Credit (“HELOC”) securitizations.
(3) We continue to service some of the outstanding balance of securitized mortgage receivables.
Non-Mortgage Securitizations
Prior to consolidation of the applicable QSPEs, the consolidated balance sheet included retained interests in the securitized loans in the
form of interest-only strips, retained tranches, cash collateral accounts, cash reserve accounts and unpaid interest and fees on the
investors’ portion of the transferred principal receivables. We also included on our consolidated balance sheet a retained transferor’s
interest in credit card loan receivables transferred to the trusts, carried on a historical cost basis and reported as loans held for
investment.
See “Note 1—Summary of Significant Accounting Policies” for more detail on the impacts of consolidation on our financial
statements. See “Mortgage Securitization” below for details relating to our consolidation and de-consolidation of Chevy Chase Bank
mortgage securitizations.
On September 15, 2010 we exercised our clean-up call option and paid off the balance of the outstanding notes on the one installment
loan securitization program that remained off-balance sheet subsequent to the adoption of the new consolidation guidance.
Accordingly, as of December 31, 2010, all remaining non-mortgage securitization structures are consolidated on our financial
statements.
Mortgage Securitizations
We had previously securitized option arm mortgage loans by transferring loan receivables to trusts, which in turn issued mortgage-
backed securities to investors. The outstanding balance of debt securities held by external investors at December 31, 2010 and 2009
was $1.3 billion and $4.6 billion, respectively. There were no loans transferred into new trusts and no gains recognized during the
periods ended December 31, 2010 and 2009 related to securitization activity.