Capital One 2011 Annual Report Download - page 211

CAPITAL ONE FINANCIAL CORPORATION
NOTES TO CONSOLIDATED STATEMENTS—(Continued)
reverts to us and we would assume approximately $420 million of loans receivable upon our execution of the
clean-up call with the requirement to absorb any losses on the loans receivable. There have been no instances of
non-performance to date by the third party.
We monitor the underlying assets for trends in delinquencies and related losses and reviews the purchaser’s
financial strength as well as servicing performance. These factors are considered in assessing the adequacy of the
liabilities established for these obligations and the valuations of the assets.
Retained Interests in Unconsolidated Securitizations
Accounts Receivable from Securitizations
Retained interests in unconsolidated securitizations are included in accounts receivable from securitizations on
our consolidated balance sheets. These retained interests consist of interest-only strips, retained tranches, cash
collateral accounts, cash reserve accounts and unpaid interest and fees on the third-party investors’ portion of the
transferred principal receivables.
The following table provides details of accounts receivable from securitizations as of December 31, 2011 and
2010:
December 31, 2011
(Dollars in millions) 2011 2010
Interest-only strip classified as trading ............................................. $63 $ 75
Retained interests classified as trading:
Retained notes ................................................................ 23 34
Cash collateral ................................................................ 88
Investor accrued interest receivable ............................................... 00
Total retained interests classified as trading ......................................... 31 42
Other retained interests ......................................................... 03
Total accounts receivable from securitizations ....................................... $94 $120
We may retain tranches in certain of the securitization transactions which are considered to be higher investment
grade securities and subject to lower risk of loss. Those retained tranches are classified as available-for-sale
securities, and changes in the estimated fair value are recorded in other comprehensive income.
The components of the net gains (losses) recognized as a result of changes in the fair value of retained interests
are presented below:
Year Ended December 31,
(Dollars in millions) 2011 2010(1) 2009
Interest only strip valuation changes ........................................ $(12) $ (6) $ (96)
Fair value adjustments related to spread accounts .............................. 49 53
Fair value adjustments related to investors’ accrued interest receivable ............. 00 (11)
Fair value adjustments related to retained subordinated notes .................... 19 (18) (57)
Net gain / (loss) recognized in earnings ...................................... $ 56 $(19) $(161)
(1) 2010 includes both mortgage related amounts representing valuation changes of mortgage interest only strips, spread
accounts, and retained interests held at December 31, 2010 and non-mortgage related amounts representing the one
installment loan securitization that remained off-balance sheet through September 15, 2010.
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