Capital One 2013 Annual Report Download - page 269

CAPITAL ONE FINANCIAL CORPORATION
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS—(Continued)
The following table presents the original principal balance of mortgage loan originations, by vintage for 2005
through 2008, for the three general categories of purchasers of mortgage loans and the estimated outstanding
principal balance as of December 31, 2013 and 2012:
Table 20.1: Unpaid Principal Balance of Mortgage Loans Originated and Sold to Third Parties Based on
Category of Purchaser (estimated)
Unpaid Principal Balance
December 31, December 31, Original Unpaid Principal Balance
(Dollars in billions) 2013 2012 Total 2008 2007 2006 2005
Government sponsored enterprises (“GSEs”)(1) .... $3 $4 $11 $1 $4 $3 $3
Insured Securitizations ....................... 55 20 0 2 8 10
Uninsured Securitizations and Other ............ 18 23 80 3 15 30 32
Total ..................................... $26 $32 $111 $4 $21 $41 $45
(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 $20 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 48% of the original principal balance was covered by the bond insurance. Further, approximately
$16 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 $4 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 a portion of the $80 billion in original principal balance of mortgage loans not
sold directly to GSEs or placed in Insured Securitizations. We have determined based on information obtained
from third-party databases that about $48 billion original principal balance of these mortgage loans are currently
held by private-label publicly issued securitizations not supported by bond insurance (“Uninsured
Securitizations”). An additional approximately $22 billion original principal balance of mortgage loans were
initially sold to private investors as whole loans. Various known and unknown investors purchased the remaining
$10 billion original principal balance of mortgage loans.
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 $26 billion in unpaid principal balance remains
outstanding as of December 31, 2013, of which approximately $6 billion in unpaid principal balance is at least 90
days delinquent. Approximately $20 billion in losses have been realized by third parties. 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 for some of these mortgage loans. These amounts reflect our best estimates, including
extrapolations of underlying credit performance where necessary. These estimates could change as we get
additional data or refine our analysis.
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