Capital One 2010 Annual Report Download - page 84

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The following table sets forth the original principal balance of mortgage loan originations by vintage for the three general categories
of purchasers of mortgage loans:
Table 24: Original Principal Balance of Mortgage Loans Originated and Sold to Third Parties Based on Category of Purchaser
(Dollars in billions) 2005 2006 2007 2008 Total
Government sponsored enterprises (“GSEs”)(1) ...................... $ 3 $ 3 $ 4 $ 1 $ 11
Insured Securitizations ............................................ 9 8 1 0 18
Uninsured Securitizations and Other ............................... 33 30 16 3 82
Total .......................................................... $ 45 $ 41 $ 21 $ 4 $ 111
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(1) GSEs include Fannie Mae and Freddie Mac.
Between 2005 and 2008, our subsidiaries sold an aggregate amount of $11 billion in original principal balance mortgage loans to the
GSEs.
Of the $18 billion in original principal balance of mortgage loans sold directly by our subsidiaries to private-label purchasers who
placed the loans into securitizations supported by bond insurance (“Insured Securitizations”), approximately $13 billion original
principal balance was placed in securitizations as to which the monoline bond insurers have made repurchase requests or loan file
requests to one of our subsidiaries (“Active Insured Securitizations”), and the remaining approximately $5 billion original
principal balance was placed in securitizations as to which the monoline bond insurers have not made repurchase requests or loan file
requests to one of our subsidiaries (“Inactive Insured Securitizations”). Insured Securitizations often allow the monoline bond insurer
to act independently of the investors. Bond insurers typically have indemnity agreements directly with both the mortgage originators
and the securitizers, and they often have super-majority rights within the trust documentation that allow them to direct trustees to
pursue mortgage repurchase requests without coordination with other investors.
Because we do not service most of the loans our subsidiaries sold to others, we do not have complete information about the current
ownership of the $82 billion in original principal balance of mortgage loans not sold directly to GSEs or placed in Insured
Securitizations. We have determined from third-party databases that about $39 billion original principal balance of these mortgage
loans are currently held by private-label publicly issued securitizations not supported by bond insurance (“Uninsured Securitizations”).
In contrast with the bond insurers in Insured Securitizations, investors in Uninsured Securitizations often face a number of legal and
logistical hurdles before they can direct a securitization trustee to pursue mortgage repurchases, including the need to coordinate with
a certain percentage of investors holding the securities and to indemnify the trustee for any litigation it undertakes. An additional
approximately $30 billion original principal balance of mortgage loans were initially sold to private investors as whole loans. Of this
amount, we believe approximately $10 billion original principal balance of mortgage loans were ultimately purchased by GSEs. For
purposes of our reserves-setting process, we consider these loans to be private-label loans rather than GSE loans. We do not have
information about the current holders or disposition of the remaining $13 billion original principal balance mortgage loans in this
category.
With respect to the $111 billion in original principal balance of mortgage loans originated and sold to others between 2005 and 2008,
we estimate that approximately $45 billion in unpaid principal balance remains outstanding, approximately $12 billion in losses have
been realized, and approximately $13 billion in unpaid principal balance is at least 90 days delinquent. Because we do not service
most of the loans we sold to others, we do not have complete information about the underlying credit performance levels of these
mortgage loans, but these amounts reflect our best estimates based on available data, including extrapolated estimates for the $13
billion original principal balance of mortgage loans about which we do not have information about the current holders. These
estimates could change as we get additional data or refine our analysis.
As of December 31, 2010, the subsidiaries had open repurchase requests relating to approximately $1.6 billion original principal
balance of mortgage loans as compared with $1.0 billion as of December 31, 2009.
Over the last year, the vast majority of new repurchase demands received and, as discussed below, almost all of our $816 million
reserves, relate to the $24 billion of original principal balance of mortgage loans originally sold to the GSEs or to Active Insured
Securitizations. Currently, repurchase demands predominantly relate to the 2006 and 2007 vintages. We have received relatively few
repurchase demands from the 2008 and 2009 vintages, mostly because GreenPoint ceased originating mortgages in August 2007.