Capital One 2010 Annual Report Download - page 180

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CAPITAL ONE FINANCIAL CORPORATION
NOTES TO CONSOLIDATED STATEMENTS
160
Assets and Liabilities Measured at Fair Value on a Recurring Basis
December 31, 2010
Fair Value Measurements Using
Assets/
Liabilities
at Fair Value
(Dollars in millions) Level 1 Level 2 Level 3
Assets
Securities available for sale:
U.S. Treasury and other U.S. Agency ...................
.
$ 386 $ 314 $ 0 $ 700
Collateralized mortgage obligations ....................
.
0 13,277 308 13,585
Mortgage-backed securities ............................
.
0 16,394 270 16,664
Asset-backed securities ...............................
.
0 9,953 13 9,966
Other ................................................
.
293 322 7 622
Total securities available for sale .........................
.
679 40,260 598 41,537
Other assets:
Mortgage servicing rights .............................
.
0 0 141 141
Derivative receivables(1) (2) ............................
.
8 1,265 46 1,319
Retained interests in securitization .....................
.
0 0 117 117
Total Assets .......................................
.
$ 687 $ 41,525 $ 902 $ 43,114
Liabilities
Other liabilities:
Derivative payables(1) .................................
.
$ (18) $ (575) $ (43) $ (636)
Total Liabilities ...................................
.
$ (18) $ (575) $ (43) $ (636)
December 31, 2009
Fair Value Measurements Using Assets/
Liabilities
at Fair Value
(Dollars in millions) Level 1 Level 2 Level 3
Assets
Securities available for sale:
U.S. Treasury and other U.S. Agency ...................
.
$ 392 $ 477 $ 0 $ 869
Collateralized mortgage obligations ....................
.
0 8,656 982 9,638
Mortgage-backed securities ............................
.
0 20,198 486 20,684
Asset-backed securities ...............................
.
0 7,179 13 7,192
Other ................................................
.
73 349 25 447
Total securities available for sale .........................
.
465 36,859 1,506 38,830
Other assets:
Mortgage servicing rights .............................
.
0 0 240 240
Derivative receivables(1)(2) .............................
.
4 625 440 1,069
Retained interests in securitizations ....................
.
0 0 3,945 3,945
Total Assets .......................................
.
$ 469 $ 37,484 $ 6,131 $ 44,084
Liabilities
Other liabilities:
Derivative payables(1) (2) ...............................
.
$ 8 $ 366 $ 33 $ 407
Total Liabilities ...................................
.
$ 8 $ 366 $ 33 $ 407
________________________
(1) We do not offset the fair value of derivative contracts in a loss position against the fair value of contracts in a gain position. We also do 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.
(2) Does not reflect $20 million and $4 million recognized as a net valuation allowance on derivative assets and liabilities for non-performance risk
as of December 31, 2010 and 2009, respectively. Non-performance risk is reflected in other assets/liabilities on the balance sheet and offset
through the income statement in other income.