Capital One 2011 Annual Report Download - page 208

CAPITAL ONE FINANCIAL CORPORATION
NOTES TO CONSOLIDATED STATEMENTS—(Continued)
December 31, 2010
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)
Securitization-related VIEs:
Credit card loan securitizations(4) ............ $53,694 $25,622 $ 0 $ 0 $ 0
Auto loan securitizations(4) ................. 1,784 1,518 0 0 0
Home loan securitizations .................. 0 0 174
(1) 37(2) 297
Other asset securitizations(4) ................ 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
(1) The carrying amount of assets of unconsolidated securitization-related VIEs consists of retained interests and letters of
credit related to manufactured housing securitizations and are reported on our consolidated balance sheets under accounts
receivable from securitizations. Mortgage servicing rights related to unconsolidated VIEs are reported on our
consolidated balance sheets under other assets. See “Note 8—Goodwill and Other Intangible Assets” for additional
information on our mortgage servicing rights.
(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 (“option-ARMs”) 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 VIE become worthless and we were required to meet our maximum remaining funding obligations.
(4) Represents the gross assets and liabilities owned by the VIE which included seller’s interest and retained and
repurchased notes held by other related parties.
Securitization Related VIEs
We historically have securitized credit card loans, auto loans, home loans and installment loans. In a securitization
transaction, assets from our balance sheet are transferred to a trust we establish, which typically meets the
definition of a VIE. The trust then issues various forms of interests in those assets to investors. We typically
receive cash proceeds and/or other interests in the securitization trust for the assets we transfer. If the transfer of
the assets to an unconsolidated securitization trust qualifies as a sale, we remove the assets from our consolidated
balance sheet and recognize a gain or loss on the transfer. Alternatively, if the transfer does not qualify as a sale
but instead is considered a secured borrowing or the transfer of assets is to a consolidated VIE, the assets remain
on our consolidated financial statements and we record an offsetting liability for the proceeds received.
Our continuing involvement in the majority of our securitization transactions consists primarily of holding
certain retained interests and acting as the primary servicer. We also may be required to repurchase receivables
from the trust if the outstanding balance of the receivables falls to a level where the cost exceeds the benefits of
servicing such receivables. We also may have exposure associated with contractual obligations to repurchase
previously transferred loans due to breaches of representations and warranties. See “Note 21—Commitments,
Contingencies and Guarantees” for information related to reserves we have established for our potential
mortgage representation and warranty exposure.
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