Capital One 2014 Annual Report Download - page 259
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Quantitative Information about Level 3 Fair Value Measurements
Fair
Value at Significant Significant
December 31, Valuation Unobservable Weighted
(Dollars in millions) 2013 Techniques Inputs Range Average
Assets:
Securities available
for sale:
RMBS . . . . . . . . . . . . . $ 1,304 Discounted Yield 0-23% 5%
cash flows (3rd Constant prepayment rate 0-21% 5%
party pricing) Default rate 0-18% 8%
Loss severity 0-95% 49%
CMBS . . . . . . . . . . . . . 739 Discounted Yield 1-4% 2%
cash flows (3rd Constant prepayment rate 0-20% 3%
party pricing)
Other ABS . . . . . . . . . . 343 Discounted Yield 1-8% 3%
cash flows (3rd Constant prepayment rate 1-6% 2%
party pricing) Default rate 1-19% 12%
Loss severity 44-80% 69%
U.S. government
guaranteed debt and
other securities . . . . . 944 Discounted Yield 0-3% 2%
cash flows (3rd
party pricing)
Other assets:
Consumer MSRs . . . . . 69 Discounted Total prepayment rate 9-32% 14%
cash flows Discount rate 10-17% 11%
Servicing cost ($per loan) $81.39-$393.52 $89.32
Derivative assets . . . . . 50 Discounted Swap rates 3-4% 4%
cash flows
Retained interests
in securitization(1) . . . 199 Discounted Life of receivables (months) 34-101
cash flows Constant prepayment rate 2-7%
Discount rate 5-14% N/A
Default rate 2-7%
Loss severity 15-89%
Liabilities:
Other liabilities:
Derivative liabilities . . . $ 38 Discounted Swap rates 3-4% 4%
cash flows
(1) Due to the nature of the various mortgage securitization structures in which we have retained interests, it is not meaningful to present a
consolidated weighted average for the significant unobservable inputs.
Assets and Liabilities Measured at Fair Value on a Nonrecurring Basis
We are required to measure and recognize certain other assets at fair value on a nonrecurring basis on the consolidated
balance sheets. These assets are not measured at fair value on an ongoing basis but are subject to fair value
237
CAPITAL ONE FINANCIAL CORPORATION
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS—(Continued)
Capital One Financial Corporation (COF)