Capital One 2012 Annual Report Download - page 218

CAPITAL ONE FINANCIAL CORPORATION
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS—(Continued)
The table below presents the securitization-related VIEs in which we had continuing involvement as of
December 31, 2012 and 2011:
Non-Mortgage Mortgage
(Dollars in millions)
Credit
Card
Auto
Loan
Other
Loan
Option
Arm
GreenPoint
HELOCs
GreenPoint
Manufactured
Housing
December 31, 2012:
Securities held by third-party investors ......... $11,347 $ 0 $ 13 $2,702 $158 $1,117
Receivables in the trust ...................... 43,811 0 19 2,794 151 1,123
Cash balance of spread or reserve accounts ...... 0 0 0 8 N/A 164
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, 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
(1) We continue to service some of the outstanding balance of securitized mortgage receivables.
(2) See the information below regarding our 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, 2012 and 2011, 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 was $2.7 billion and $3.1 billion at
December 31, 2012 and 2011, 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. 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
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