Capital One 2014 Annual Report Download - page 258
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Table 18.3: Quantitative Information about Level 3 Fair Value Measurements
Quantitative Information about Level 3 Fair Value Measurements
Fair
Value at Significant Significant
December 31, Valuation Unobservable Weighted
(Dollars in millions) 2014 Techniques Inputs Range Average
Assets:
Securities available
for sale:
RMBS . . . . . . . . . . . . . $ 561 Discounted cash Yield 0-18% 6%
flows (3rd party Constant prepayment rate 0-23% 4%
pricing) Default rate 0-15% 5%
Loss severity 0-85% 55%
CMBS . . . . . . . . . . . . . 228 Discounted cash Yield 1-4% 1%
flows (3rd party Constant prepayment rate 0-100% 5%
pricing)
Other ABS . . . . . . . . . . 65 Discounted cash Yield 2-7% 5%
flows (3rd party Constant prepayment rate 0-3% 2%
pricing) Default rate 1-10% 7%
Loss severity 30-88% 71%
U.S. government
guaranteed debt and
other securities . . . . . 351 Discounted cash Yield 1-4% 3%
flows (3rd party
pricing)
Other assets:
Consumer MSRs . . . . . 53 Discounted Total prepayment rate 12-27% 18%
cash flows Discount rate 12% 12%
Option Adjusted Spread rate 435-1,500 bps 478 bps
Servicing cost ($ per loan) $93.18-$208.70 $100.63
Derivative assets . . . . . 66 Discounted Swap rates 2-3% 2%
cash flows
Retained interests
in securitization(1) . . . 221 Discounted Life of receivables (months) 25-72
cash flows Constant prepayment rate 2-13%
Discount rate 4-9% N/A
Default rate 2-8%
Loss severity 19-95%
Liabilities:
Other liabilities:
Derivative liabilities . . . $ 43 Discounted Swap rates 2-3% 2%
cash flows
236
CAPITAL ONE FINANCIAL CORPORATION
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS—(Continued)
Capital One Financial Corporation (COF)