Capital One 2009 Annual Report Download - page 148

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135
Level 3 Instruments Only
For the Year Ended December 31, 2009
Securities
Available for
Sale
Mortgage
Servicing
Rights(1) Derivative
Receivables(2)
Retained
Interests in
Securitizations(3)
Derivative
Payables(2)
Balance, January 1, 2009 $ 2,380,261 $ 150,544 $ 59,895 $ 1,470,385 $ 60,672
Total realized and unrealized gains
(losses): ...............................................
.
Included in earnings .......................
.
99 (5,505) (213,965) (131,411) (27,574)
Included in other comprehensive
income .......................................
.
(168,380) — — 114,228 —
Purchases, issuances and
settlements, net ...................................
.
(114,008) 94,612 37,870 2,491,338 3,804
Transfers in/(out) of Level 3....................
.
(591,440) — 556,792 — (3,968)
Balance, December 31, 2009 $ 1,506,532 $ 239,651 $ 440,592 $ 3,944,540 $ 32,934
Change in unrealized gains (losses) included in
earnings related to financial instruments
held at December 31, 2009 ...........................
.
$ 99 $ (5,505) $ (213,965) $ 70,749 $ (27,574)
For the Year Ended December 31, 2009
Securities Available for Sale
U.S. Treasury
& other U.S.
Gov’t agency
Collateralized
mortgage
obligations
Mortgage-
backed
securities
Asset-
backed
securities
Other
Total
Balance, January 1, 2009 $ — $ 1,579,909 $ 773,200 $ — $ 27,152 $ 2,380,261
Total realized and unrealized gains
(losses): ........................................
Included in earnings ................ — 213 — (114) — 99
Included in other
comprehensive income ....... — (175,032) 6,652 — — (168,380)
Purchases, issuances and
settlements, net ............................ — (234,768) 48,220 74,201 (1,661) (114,008)
Transfers in/(out) of Level 3............. — (188,427) (342,037) (60,976) — (591,440)
Balance, December 31, 2009 $ — $ 981,895 $ 486,035 $ 13,111 $ 25,491 $ 1,506,532
Change in unrealized gains (losses)
included in earnings related to
financial instruments held at
December 31, 2009 ............................... $ — $ 213 $ — $ (114) $ — $ 99
For the Year ended December 31, 2008
Securities
Available for
Sale
Mortgage
Servicing
Rights(1) Derivative
Receivables(2)
Retained
Interests in
Securitizations(3)
Derivative
Payables(2)
Balance, January 1, 2008 .............................................. $ 217,428 $ 247,589 $ 8,962 $ 1,295,498 $ 8,631
Total realized and unrealized gains (losses): .........
Included in earnings ..................................... 18 (72,516) 33,442 (187,934) 34,072
Included in other comprehensive income .... (696,601) — — (57,259) —
Purchases, issuances and settlements .................... 180,631 (24,529) 17,491 420,080 17,969
Transfers into Level 3 ............................................ 2,678,785 — — — —
Balance, December 31, 2008 ......................................... $ 2,380,261 $ 150,544 $ 59,895 $ 1,470,385 $ 60,672
Change in unrealized gains (losses) included in
earnings related to financial instruments held at
December 31, 2008 .................................................... $ — $ (72,516) $ 33,442 $ (41,055) $ 34,072
(1) Gains (losses) related to Level 3 mortgage servicing rights are reported in mortgage servicing and other income, which is a
component of non-interest income.
(2) An end of quarter convention is used to measure derivative activity, resulting in end of quarter values being reflected as
purchases, issuances and settlements for derivatives having a zero fair value at inception. Gains (losses) related to Level 3
derivative receivables and derivative payables are reported in other non-interest income, which is a component of non-interest
income.