Capital One 2014 Annual Report Download - page 211

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The table below presents the securitization-related VIEs in which we had continuing involvement as of December
31, 2014 and 2013:
Table 6.2: Continuing Involvement in Securitization-Related VIEs
Non-Mortgage Mortgage
GreenPoint
Credit Option GreenPoint Housing
(Dollars in millions) Card ARM HELOCs Manufactured
December 31, 2014:
Securities held by third-party investors . . . . . . . . . . . . . . . . $ 11,624 $ 2,026 $ 95 $ 887
Receivables in the trust . . . . . . . . . . . . . . . . . . . . . . . . . . . . 36,545 2,094 89 893
Cash balance of spread or reserve accounts . . . . . . . . . . . . 0 8 N/A 143
Retained interests . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Ye s Yes Yes Yes
Servicing retained . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Ye s Yes(1) No No(2)
Amortization event(3) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . No No No No
December 31, 2013:
Securities held by third-party investors . . . . . . . . . . . . . . . . $ 10,289 $ 2,320 $ 122 $ 994
Receivables in the trust . . . . . . . . . . . . . . . . . . . . . . . . . . . . 39,548 2,399 116 1,000
Cash balance of spread or reserve accounts . . . . . . . . . . . . 3 8 N/A 144
Retained interests . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Yes Yes Yes Yes
Servicing retained . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Yes Yes(1) Yes(1) No(2)
Amortization event(3) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . No No No No
(1) We retained servicing of the outstanding balance for a portion of securitized mortgage receivables.
(2) The core servicing activities for the manufactured housing securitizations are completed by a third party.
(3) Amortization events vary according to each specific trust agreement but generally are triggered by declines in performance or credit metrics,
such as net 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, 2014 and 2013, 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 $2.0 billion and $2.3 billion as of
December 31, 2014 and 2013, respectively.
We continue to service a portion 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 key
assumptions which include credit losses, prepayment speeds and discount rates commensurate with the risks
involved. For the trusts that we continue to service, we do not consolidate these entities because we do not have the
right to receive benefits nor the obligation to absorb losses that could potentially be significant to the trusts. For the
CAPITAL ONE FINANCIAL CORPORATION
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS—(Continued)
Capital One Financial Corporation (COF)