Capital One 2013 Annual Report Download - page 255

Download and view the complete annual report

Please find page 255 of the 2013 Capital One annual report below. You can navigate through the pages in the report by either clicking on the pages listed below, or by using the keyword search tool below to find specific information within the annual report.

Page out of 302

  • 1
  • 2
  • 3
  • 4
  • 5
  • 6
  • 7
  • 8
  • 9
  • 10
  • 11
  • 12
  • 13
  • 14
  • 15
  • 16
  • 17
  • 18
  • 19
  • 20
  • 21
  • 22
  • 23
  • 24
  • 25
  • 26
  • 27
  • 28
  • 29
  • 30
  • 31
  • 32
  • 33
  • 34
  • 35
  • 36
  • 37
  • 38
  • 39
  • 40
  • 41
  • 42
  • 43
  • 44
  • 45
  • 46
  • 47
  • 48
  • 49
  • 50
  • 51
  • 52
  • 53
  • 54
  • 55
  • 56
  • 57
  • 58
  • 59
  • 60
  • 61
  • 62
  • 63
  • 64
  • 65
  • 66
  • 67
  • 68
  • 69
  • 70
  • 71
  • 72
  • 73
  • 74
  • 75
  • 76
  • 77
  • 78
  • 79
  • 80
  • 81
  • 82
  • 83
  • 84
  • 85
  • 86
  • 87
  • 88
  • 89
  • 90
  • 91
  • 92
  • 93
  • 94
  • 95
  • 96
  • 97
  • 98
  • 99
  • 100
  • 101
  • 102
  • 103
  • 104
  • 105
  • 106
  • 107
  • 108
  • 109
  • 110
  • 111
  • 112
  • 113
  • 114
  • 115
  • 116
  • 117
  • 118
  • 119
  • 120
  • 121
  • 122
  • 123
  • 124
  • 125
  • 126
  • 127
  • 128
  • 129
  • 130
  • 131
  • 132
  • 133
  • 134
  • 135
  • 136
  • 137
  • 138
  • 139
  • 140
  • 141
  • 142
  • 143
  • 144
  • 145
  • 146
  • 147
  • 148
  • 149
  • 150
  • 151
  • 152
  • 153
  • 154
  • 155
  • 156
  • 157
  • 158
  • 159
  • 160
  • 161
  • 162
  • 163
  • 164
  • 165
  • 166
  • 167
  • 168
  • 169
  • 170
  • 171
  • 172
  • 173
  • 174
  • 175
  • 176
  • 177
  • 178
  • 179
  • 180
  • 181
  • 182
  • 183
  • 184
  • 185
  • 186
  • 187
  • 188
  • 189
  • 190
  • 191
  • 192
  • 193
  • 194
  • 195
  • 196
  • 197
  • 198
  • 199
  • 200
  • 201
  • 202
  • 203
  • 204
  • 205
  • 206
  • 207
  • 208
  • 209
  • 210
  • 211
  • 212
  • 213
  • 214
  • 215
  • 216
  • 217
  • 218
  • 219
  • 220
  • 221
  • 222
  • 223
  • 224
  • 225
  • 226
  • 227
  • 228
  • 229
  • 230
  • 231
  • 232
  • 233
  • 234
  • 235
  • 236
  • 237
  • 238
  • 239
  • 240
  • 241
  • 242
  • 243
  • 244
  • 245
  • 246
  • 247
  • 248
  • 249
  • 250
  • 251
  • 252
  • 253
  • 254
  • 255
  • 256
  • 257
  • 258
  • 259
  • 260
  • 261
  • 262
  • 263
  • 264
  • 265
  • 266
  • 267
  • 268
  • 269
  • 270
  • 271
  • 272
  • 273
  • 274
  • 275
  • 276
  • 277
  • 278
  • 279
  • 280
  • 281
  • 282
  • 283
  • 284
  • 285
  • 286
  • 287
  • 288
  • 289
  • 290
  • 291
  • 292
  • 293
  • 294
  • 295
  • 296
  • 297
  • 298
  • 299
  • 300
  • 301
  • 302

CAPITAL ONE FINANCIAL CORPORATION
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS—(Continued)
provide unobservable input information for all securities for which they provide a valuation. As a result, the
unobservable input information for the securities available for sale presented below represents a composite summary of
all information we are able to obtain for a majority of our securities. The unobservable input information for all other
Level 3 financial instruments is based on the assumptions used in our internal valuation models.
Table 18.3: Quantitative Information about Level 3 Fair Value Measurements
Quantitative Information about Level 3 Fair Value Measurements
(Dollars in millions)
Fair
Value at
December 31,
2013
Significant
Valuation
Techniques
Significant
Unobservable
Inputs Range
Weighted
Average
Assets:
Securities available for
sale:
RMBS .............. $1,304 Discounted cash
flows (3rd party
pricing)
Yield
Constant prepayment rate
Default rate
Loss severity
0-23%
0-21%
0-18%
0-95%
5%
5%
8%
49%
CMBS .............. $ 739 Discounted cash
flows (3rd party
pricing)
Yield
Constant prepayment rate 1-4%
0-20% 2%
3%
Other ABS ........... $ 343 Discounted cash
flows (3rd party
pricing)
Yield
Constant prepayment rate
Default rate
Loss severity
1-8%
1-6%
1-19%
44-80%
3%
2%
12%
69%
U.S. government
guaranteed debt and
other securities ..... $ 944 Discounted cash
flows (3rd party
pricing)
Yield 0-3% 2%
Other assets:
Consumer MSRs ...... $ 69 Discounted cash
flows
Total prepayment rate
Discount rate
Servicing cost ($per loan)
9.03-32.05%
9.94-17.07%
$81.39-$393.52
14.47%
10.58%
$89.32
Derivative assets ...... $ 50 Discounted cash
flows
Swap rates 2.99-3.70% 3.57%
Retained interests in
securitization (1) ..... $ 199 Discounted cash
flows
Life of receivables (months)
Constant prepayment rate
Discount rate
Default rate
Loss severity
34-101
1.91-7.24%
4.54-13.57%
1.79-7.07%
14.71-88.69%
N/A
Liabilities:
Other liabilities:
Derivative liabilities . . . $ 38 Discounted cash
flows
Swap rates 3.01-3.67% 3.57%
(1) Due to the nature of the various mortgage securitization structures in which we have retained interest, it is not meaningful to present a
consolidated weighted average for the significant unobservable inputs.
235