Capital One 2012 Annual Report Download - page 255
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CAPITAL ONE FINANCIAL CORPORATION
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS—(Continued)
Assets and Liabilities Measured at Fair Value on a Recurring Basis
December 31, 2012
Fair Value Measurements Using
(Dollars in millions) Level 1 Level 2 Level 3 Total
Assets
Securities available for sale: ....................................
U.S. Treasury debt obligations .............................. $1,552 $ 0 $ 0 $ 1,552
U.S. Agency debt obligations ............................... 0 664 650 1,314
Residential mortgage-backed securities ....................... 0 42,538 1,335 43,873
Commercial mortgage-backed securities ...................... 0 7,042 587 7,629
Asset-backed securities .................................... 0 8,356 102 8,458
Other .................................................. 145 993 15 1,153
Total securities available for sale ................................ 1,697 59,593 2,689 63,979
Other assets: ................................................
Mortgage servicing rights .................................. 0 0 55 55
Derivative receivables(1)(2) .................................. 1 1,757 90 1,848
Retained interests in securitizations and other .................. 0 0 204 204
Total assets ......................................... $1,698 $61,350 $3,038 $66,086
Liabilities
Other liabilities: ..............................................
Derivative payables(1)(2) .................................... $ (1) $ (361) $ (38) $ (400)
Total liabilities ...................................... $ (1) $ (361) $ (38) $ (400)
December 31, 2011
Fair Value Measurements Using
(Dollars in millions) Level 1 Level 2 Level 3 Total
Assets
Securities available for sale: ....................................
U.S. Treasury debt obligations .............................. $124 $ 0 $ 0 $ 124
U.S. Agency debt obligations ............................... 0 138 0 138
Residential mortgage-backed securities ....................... 0 26,455 195 26,650
Commercial mortgage-backed securities ...................... 0 913 274 1,187
Asset-backed securities .................................... 0 10,118 32 10,150
Other .................................................. 279 219 12 510
Total securities available for sale ................................ 403 37,843 513 38,759
Other assets: ................................................
Mortgage servicing rights .................................. 0 0 93 93
Derivative receivables(1)(2) ................................. 5 1,828 103 1,936
Retained interests in securitizations and other .................. 0 0 145 145
Total assets ........................................ $408 $39,671 $ 854 $40,933
Liabilities
Other liabilities: .............................................
Derivative payables(1) (2) ................................... $ (6) $ (702) $(279) $ (987)
Total liabilities ...................................... $ (6) $ (702) $(279) $ (987)
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