Capital One 2008 Annual Report Download - page 144

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126
The Company also adopted SFAS 159 on January 1, 2008. SFAS 159 allows an entity the irrevocable option to elect fair value for the
initial and subsequent measurement for certain financial assets and liabilities on a contract-by-contract basis. SFAS 159 requires that
the difference between the carrying value before election of the fair value option and the fair value of these instruments be recorded as
an adjustment to beginning retained earnings in the period of adoption. The initial adoption of SFAS 159 did not have a material effect
on the consolidated earnings and financial position of the Company.
Assets and Liabilities Measured at Fair Value on a Recurring Basis
The following table reflects the fair values of assets and liabilities measured and recognized at fair value on a recurring basis on the
consolidated balance sheet.
December 31, 2008
Fair Value Measurements Using
Level 1
Level 2
Level 3
Assets/Liabilities
at Fair Value
Assets
Securities available for sale....................................................... $ 291,907 $ 28,331,103 $ 2,380,261 $ 31,003,271
Other assets ...............................................................................
Mortgage servicing rights ................................................ 150,544 150,544
Derivative receivables(1) ................................................... 8,020 1,768,902 59,895 1,836,817
Retained interests in securitizations................................. 1,470,385 1,470,385
Total Assets ........................................................... $ 299,927 $ 30,100,005 $ 4,061,085 $ 34,461,017
Liabilities
Other liabilities..........................................................................
Derivative payables(1) ....................................................... $ 937 $ 1,260,062 $ 60,672 $ 1,321,671
Total Liabilities..................................................... $ 937 $ 1,260,062 $ 60,672 $ 1,321,671
(1) The Company does not offset the fair value of derivative contracts in a loss position against the fair value of contracts in a gain
position. The Company also does not offset fair value amounts recognized for derivative instruments and fair value amounts
recognized for the right to reclaim cash collateral or the obligation to return cash collateral arising from derivative instruments
executed with the same counterparty under a master netting arrangement.
Financial instruments are considered Level 3 when their values are determined using pricing models, discounted cash flow
methodologies or similar techniques and at least one significant model assumption or input is unobservable. Level 3 financial
instruments also include those for which the determination of fair value requires significant management judgment or estimation. The
table below presents a reconciliation for all assets and liabilities measured and recognized at fair value on a recurring basis using
significant unobservable inputs (Level 3) during 2008. All Level 3 instruments presented in the table were carried at fair value prior to
the adoption of SFAS 159.