Capital One 2015 Annual Report Download - page 183

CAPITAL ONE FINANCIAL CORPORATION
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
164 Capital One Financial Corporation (COF)
The table below presents the securitization-related VIEs in which we had continuing involvement as of December 31, 2015 and
2014.
Table 7.2: Continuing Involvement in Securitization-Related VIEs
Mortgage
(Dollars in millions)
Credit
Card
Option-
ARM
GreenPoint
HELOCs
GreenPoint
Manufactured
Housing
December 31, 2015:
Securities held by third-party investors . . . . . . . . . . . . . . . . . . $ 16,166 $ 1,754 $ 74 $ 789
Receivables in the trust . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 33,783 1,814 68 794
Cash balance of spread or reserve accounts . . . . . . . . . . . . . . 0 8 N/A 134
Retained interests. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Yes Yes Yes Yes
Servicing retained . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Yes Yes (1) No No (2)
Amortization event(3) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . No No No No
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. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Yes Yes Yes Yes
Servicing retained . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Yes Yes (1) No (1) No (2)
Amortization event(3) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . No No No No
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(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.
Credit Card Loan Securitizations
We hold certain retained interests in our credit card loan securitizations and continue to service the receivables in these trusts. As
of December 31, 2015 and 2014, we were deemed to be the primary beneficiary, and accordingly, all of these trusts have been
consolidated in our financial statements.
Mortgage Securitizations
Option-ARM Loans
We had previously securitized option-ARM 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 $1.8 billion and $2.0 billion as of December 31, 2015 and 2014, 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 remaining trusts, for which we no longer service the underlying mortgage loans, we do not consolidate these entities since
we do not have the power to direct the activities that most significantly impact the economic performance of the trusts.
In connection with the securitization of certain option-ARM loans, a third party is obligated to advance a portion of any “negative
amortization” resulting from monthly payments that are less than the interest accrued for that payment period. We have an agreement