Stephane,
this post has the information you're looking for, at least as far as our server goes. At a bare minimum, your mail server and ours is involved in a transaction like this; in most cases, there are going to be one or more intermediary steps/servers, as well.
We can't control what your mail server or the intermediary ones do with the mail during/after sending to you, but ours forgets all about the information as soon as we can verify that we've successfully sent it.
Hope this helps!