Capital One 2013 Annual Report Download - page 256
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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:
RMBS .............. $1,335 Discounted
cash flows (3rd
party pricing)
Yield
Constant prepayment rate
Default rate
Loss severity
0-24%
0-26%
0-21%
4-75%
5%
6%
9%
52%
CMBS .............. $ 587 Discounted
cash flows (3rd
party pricing)
Yield
Constant prepayment rate
1-3%
0-15%
2%
11%
Other ABS........... $ 102 Discounted
cash flows (3rd
party pricing)
Yield
Constant prepayment rate
Default rate
Loss severity
1-24%
0-5%
1-28%
46-88%
4%
2%
15%
72%
U.S. government
guaranteed debt and
other securities ..... $ 665 Discounted
cash flows (3rd
party pricing)
Yield 1-4% 2%
Other assets:
Consumer MSRs ...... $ 55 Discounted
cash flows
Total prepayment rate
Discount rate
Servicing cost ($per loan)
11.77-32.99%
9.95-37.88%
$81-$864
19.37%
12.66%
$302
Derivative assets ...... $ 90 Discounted
cash flows Swap rates 1.82-2.58% 2.46%
Retained interests in
securitization(1) ..... $ 204 Discounted
cash flows
Life of receivables (months)
Constant prepayment rate
Discount rate
29-243
1.25-22.21%
2.90-13.57%
N/A
Liabilities:
Other liabilities:
Derivative liabilities . . . $ 38 Discounted
cash flows
Swap rates 1.82-2.55% 2.42%
(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.
236