Capital One 2012 Annual Report Download - page 260

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CAPITAL ONE FINANCIAL CORPORATION
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS—(Continued)
Quantitative Information about Level 3 Fair Value Measurements
(Dollars in millions)
Fair
Value at
December
31, 2012
Significant
Valuation
Techniques
Significant
Unobservable
Inputs
Range
(Weighted Average)
Assets:
Securities available for sale:
Residential mortgage-backed
securities .............. $1,335 Discounted cash
flows (3rd party
pricing)
Yield
Constant prepayment rate
Default rate
Loss severity
0-24% (5%)
0-26% (6%)
0-21% (9%)
4-75% (52%)
Commercial mortgage-
backed securities ........ 587 Discounted cash
flows (3rd party
pricing)
Yield
Constant prepayment rate
1-3% (2%)
0-15% (11%)
Asset-backed securities ..... 102 Discounted cash
flows (3rd party
pricing)
Yield
Constant prepayment rate
Default rate
Loss severity
1-24% (4%)
0-5% (2%)
1-28% (15%)
46-88% (72%)
U.S. agency debt obligations
and other .............. 665 Discounted cash
flows (3rd party
pricing)
Yield
Constant prepayment rate
1-4% (2%)
N/A
Other assets:
Mortgage servicing rights . . . 55 Discounted cash
flows
Constant prepayment rate
Discount rate
Servicing cost ($ per loan)
11.77-32.99% (19.37%)
9.95-37.88% (12.66%)
$81-$864 ($302)
Derivative receivables ...... 90 Discounted cash
flows
Swap rates
1.82-2.59% (2.46%)
Retained interests in
securitization and other . . .
204 Discounted cash
flows
Life of receivables (months)
Constant prepayment rate
Discount rate
29-243 (66)
1.25-22.21% (13.52%)
2.90-13.57% (12.70%)
Liabilities:
Other liabilities:
Derivative payables ........ (38) Discounted cash
flows
Black model
Swap rates
Flat volatility
1.82-2.55% (2.42%)
24.66-25.03% (24.72%)
241