Capital One 2011 Annual Report Download - page 209

CAPITAL ONE FINANCIAL CORPORATION
NOTES TO CONSOLIDATED STATEMENTS—(Continued)
The table below presents the securitization-related VIEs in which we had continuing involvement as of
December 31, 2011 and 2010:
Non-Mortgage Mortgage
(Dollars in millions)
Credit
Card
Auto
Loan
Other
Loan
Option
Arm
GreenPoint
HELOCs
GreenPoint
Manufactured
Housing
December 31, 2011:
Securities held by third-party investors ........ $16,428 $ 75 $ 24 $3,122 $206 $1,247
Receivables in the trust .................... 47,537 77 36 3,228 206 1,254
Cash balance of spread or reserve accounts .... 17 12 0 8 0 172
Retained interests ......................... Yes Yes Yes Yes Yes Yes
Servicing retained ........................ Yes Yes Yes Yes(1) Yes(1) No(3)
Amortization event(4) ...................... No No No No Yes(2) No
December 31, 2010:
Securities held by third-party investors ........ $25,415 $1,453 $ 48 $3,690 $284 $1,386
Receivables in the trust .................... 52,355 1,528 191 3,813 284 1,393
Cash balance of spread or reserve accounts . . . . 77 147 0 8 0 183
Retained interests ......................... Yes Yes Yes Yes Yes Yes
Servicing retained ........................ Yes Yes Yes Yes
(1) Yes(1) No(3)
Amortization event(4) ...................... No No No No Yes
(2) No
(1) We continue to service some of the outstanding balance of securitized mortgage receivables.
(2) See information below regarding on-going involvement in the GreenPoint Home Equity Line of Credit (“HELOC”)
securitizations.
(3) The manufactured housing securitizations are serviced by a third party. For two of the deals, that third party works in the
capacity of subservicer with Capital One being the Master Servicer.
(4) Amortization events vary according to each specific trust agreement but generally are triggered by declines in
performance or credit metrics such as charge-off rates or delinquency rates below certain predetermined thresholds.
Generally, the occurrence of an amortization event changes the sequencing and amount of trust related cash flows to the
benefit of senior noteholders.
Non-Mortgage Securitizations
As of December 31, 2011 and 2010, we were deemed to be the primary beneficiary of all of our non-mortgage
securitization trusts. Accordingly, all of these trusts have been consolidated in our financial statements.
Mortgage Securitizations
Option-ARM Loans
We had previously securitized option-ARM mortgage loans by transferring the mortgage loans to securitization
trusts that had issued mortgage-backed securities to investors. The outstanding balance of debt securities held by
third-party investors related to our mortgage loan securitization trusts at December 31, 2011 and 2010 was $3.1
billion and $3.7 billion, respectively.
We continue to service some of the outstanding balance of securitized mortgage receivables. We also retain
rights to future cash flows arising from the receivables, the most significant being certificated interest-only bonds
issued by the trusts, certain of which we sold during the year ended December 31, 2010. We generally estimate
the fair value of these retained interests based on the estimated present value of expected future cash flows from
securitized and sold receivables, using our best estimates of the key assumptions which include credit losses,
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