Capital One 2014 Annual Report Download - page 255
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Table 18.2: Level 3 Recurring Fair Value Rollforward
Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
Year Ended December 31, 2014
Net
Unrealized
Gains
(Losses)
Included
in Net
Income
Total Gains (Losses) Related to
(Realized/Unrealized) Assets and
Liabilities
Balance, Included Transfers Transfers Balance, Still Held as of
January 1, in Net Included in Into Out of December 31, December 31,
(Dollars in millions) 2014 Income(1) OCI Purchases Sales Issuances Settlements Level 3(2) Level 3(2) 2014 2014(3)
Assets:
Securities available
for sale:
Corporate debt securities
guaranteed by
U.S. government
agencies . . . . . . . . . $ 927 $ (5) $ 20 $ 0 $ (248) $ 0 $ (63) $ 64 $ (362) $ 333 $ 0
RMBS . . . . . . . . . . . . . 1,304 65 39 1,022 0 0 (171) 259 (1,957) 561 64
CMBS . . . . . . . . . . . . . 739 0 3 192 0 0 (75) 66 (697) 228 0
Other ABS . . . . . . . . . 343 5 12 0 0 0 (3) 75 (367) 65 5
Other securities . . . . . 17 (1) 0 0 0 0 (8) 10 0 18 0
Total securities available
for sale . . . . . . . . . . 3,330 64 74 1,214 (248) 0 (320) 474 (3,383) 1,205 69
Other assets:
Consumer MSRs . . . . 69 (27) 0 0 0 15 (4) 0 0 53 (27)
Derivative assets . . . . . 50 20 0 0 0 20 (21) 0 (3) 66 19
Retained interest in
securitizations . . . . 199 22 0 0 0 0 0 0 0 221 22
Liabilities:
Other liabilities:
Derivative liabilities . . $ 38 $ 20 $ 0 $ 0 $ 0 $ 15 $ (29) $ 0 $ (1) $ 43 $ 20
233
CAPITAL ONE FINANCIAL CORPORATION
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS—(Continued)
Capital One Financial Corporation (COF)