Capital One 2015 Annual Report Download - page 218

CAPITAL ONE FINANCIAL CORPORATION
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
199 Capital One Financial Corporation (COF)
We have a model policy, established by an independent Model Risk Office, which governs the validation of models and related
supporting documentation to ensure the appropriate use of models for pricing. The MVG is part of the Model Risk Office and
validates all models and provides ongoing monitoring of their performance, including the validation and monitoring of the
performance of all valuation models.
Assets and Liabilities Measured at Fair Value on a Recurring Basis
The following table displays our assets and liabilities measured on our consolidated balance sheets at fair value on a recurring
basis as of December 31, 2015 and 2014:
Table 19.1: Assets and Liabilities Measured at Fair Value on a Recurring Basis
December 31, 2015
Fair Value Measurements Using
(Dollars in millions) Level 1 Level 2 Level 3 Total
Assets:
Securities available for sale:
U.S. Treasury securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 4,660 $ 0 $ 0 $ 4,660
RMBS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0 26,807 504 27,311
CMBS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0 5,282 97 5,379
Other ABS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0 1,340 0 1,340
Other securities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 355 2 14 371
Total securities available for sale. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,015 33,431 615 39,061
Other assets:
Consumer MSRs. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0 0 68 68
Derivative assets(1)(2) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2 1,459 57 1,518
Retained interests in securitizations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0 0 211 211
Total assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 5,017 $ 34,890 $ 951 $ 40,858
Liabilities:
Other liabilities:
Derivative liabilities(1)(2) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 2 $ 491 $ 27 $ 520
Total liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 2 $ 491 $ 27 $ 520