Capital One 2011 Annual Report Download - page 240

CAPITAL ONE FINANCIAL CORPORATION
NOTES TO CONSOLIDATED STATEMENTS—(Continued)
Fair Values Measurement
For information on fair value measurements, including descriptions of Level 1, 2 and 3 of the fair value hierarchy
and the valuation methods we utilize, see “Note 1—Summary of Significant Accounting Policies” and “Note
19—Fair Value of Financial Instruments.”
Plan Assets Measured at Fair Value on a Recurring Basis
December 31, 2011
(Dollars in millions) Fair Value Measurements Using Assets
at Fair ValueLevel 1 Level 2 Level 3
Plan Assets
Common collective trusts ................................... $0 $125 $0 $125
Short-term investment fund ................................. 0 00 0
Corporate bonds (S&P rating of A or higher) .................... 0 12 0 12
Corporate bonds (S&P rating of lower than A) .................. 0 22 0 22
Government securities ..................................... 0 46 0 46
Mortgage-backed securities ................................. 0 15 0 15
Municipal bonds .......................................... 0 10 1
Total ............................................... $0 $221 $0 $221
December 31, 2010
(Dollars in millions) Fair Value Measurements Using Assets
at Fair ValueLevel 1 Level 2 Level 3
Plan Assets
Common collective trusts ................................... $0 $169 $0 $169
Short-term investment fund ................................. 0 7 0 7
Corporate bonds (S&P rating of A or higher) .................... 0 2 0 2
Corporate bonds (S&P rating of lower than A) .................. 0 4 0 4
Government securities ..................................... 0 46 0 46
Mortgage-backed securities ................................. 0 1 0 1
Municipal bonds .......................................... 0 0 0 0
Total ............................................... $0 $229 $0 $229
Financial instruments are considered Level 3 when their values are determined using pricing models, which
include comparison of prices from multiple sources, discounted cash flow methodologies or similar techniques
and at least one significant model assumption or input is unobservable or there is significant variability among
pricing sources. 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 plan
assets measured and recognized at fair value on a recurring basis using significant unobservable inputs (Level 3)
during 2010. We did not have any Level 3 plan assets for the year ended December 31, 2011.
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