XML 43 R32.htm IDEA: XBRL DOCUMENT v3.20.2

Fair Value Measurement (Tables)

9 Months Ended

Sep. 30, 2020

Fair Value Disclosures [Abstract]

Schedule of Assets and Liabilities Measured at Fair Value on 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 September 30, 2020 and December 31, 2019.

Table 11.1: Assets and Liabilities Measured at Fair Value on a Recurring Basis

						September 30, 2020
						Fair Value Measurements Using																		Netting Adjustments(1)
(Dollars in millions)						Level 1						Level 2						Level 3												Total
Assets:
Securities available for sale:
U.S. Treasury securities						$	9,345					$	0					$	0					—						$	9,345
RMBS						0						76,185						474						—						76,659
CMBS						0						11,063						372						—						11,435
Other securities						180						2,234						0						—						2,414
Total securities available for sale						9,525						89,482						846						—						99,853
Loans held for sale						0						1,255						0						—						1,255
Other assets:
Derivative assets(2)						255						3,693						153						$	(1,622)					2,479
Other(3)						371						493						56						—						920
Total assets						$	10,151					$	94,923					$	1,055					$	(1,622)					$	104,507
Liabilities:
Other liabilities:
Derivative liabilities(2)						$	236					$	1,394					$	109					$	(708)					$	1,031
Total liabilities						$	236					$	1,394					$	109					$	(708)					$	1,031

						December 31, 2019
						Fair Value Measurements Using																		Netting Adjustments(1)
(Dollars in millions)						Level 1						Level 2						Level 3												Total
Assets:
Securities available for sale:
U.S. Treasury securities						$	4,124					$	0					$	0					—						$	4,124
RMBS						0						63,909						429						—						64,338
CMBS						0						9,413						13						—						9,426
Other securities						231						1,094						0						—						1,325
Total securities available for sale						4,355						74,416						442						—						79,213
Loans held for sale						0						251						0						—						251
Other assets:
Derivative assets(2)						84						1,568						77						$	(633)					1,096
Other(3)						344						0						66						—						410
Total assets						$	4,783					$	76,235					$	585					$	(633)					$	80,970
Liabilities:
Other liabilities:
Derivative liabilities(2)						$	17					$	1,129					$	51					$	(523)					$	674
Total liabilities						$	17					$	1,129					$	51					$	(523)					$	674

__________

(1)Represents balance sheet netting of derivative assets and liabilities, and related payables and receivables for cash collateral held or placed with the same counterparty. See “Note 8—Derivative Instruments and Hedging Activities” for additional information.

(2)Does not reflect $40 million and $12 million recognized as a net valuation allowance on derivative assets and liabilities for non-performance risk as of September 30, 2020 and December 31, 2019, respectively. Non-performance risk is included in derivative assets and liabilities, which are part of other assets and other liabilities on the consolidated balance sheets, and is offset through non-interest income in the consolidated statements of income.

(3)As of September 30, 2020 and December 31, 2019, other includes retained interests in securitizations of $56 million and $66 million, deferred compensation plan assets of $370 million and $343 million, and equity securities of $494 million (including unrealized gains of $470 million) and $1 million, respectively.

Schedule of Level 3 Inputs Reconciliation

The table below presents a reconciliation for all assets and liabilities measured and recognized at fair value on a recurring basis using significant unobservable inputs (Level 3) for the three and nine months ended September 30, 2020 and 2019. Generally, transfers into Level 3 were primarily driven by the usage of unobservable assumptions in the pricing of these financial instruments as evidenced by wider pricing variations among pricing vendors and transfers out of Level 3 were primarily driven by the usage of assumptions corroborated by market observable information as evidenced by tighter pricing among multiple pricing sources.

Table 11.2: Level 3 Recurring Fair Value Rollforward

						Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
						Three Months Ended September 30, 2020
												Total Gains (Losses) (Realized/Unrealized)																																																						Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of September 30, 2020(1)
(Dollars in millions)						Balance, July 1, 2020						Included in Net Income(1)						Included in OCI						Purchases						Sales						Issuances						Settlements						Transfers Into Level 3						Transfers Out of Level 3						Balance, September 30, 2020
Securities available for sale:(2)
RMBS						$	474					$	10					$	3					$	0					$	0					$	0					$	(22)					$	56					$	(47)					$	474					$	10
CMBS						282						(1)						1						0						0						0						(8)						98						0						372						(1)
Total securities available for sale						756						9						4						0						0						0						(30)						154						(47)						846						9
Other assets:
Retained interests in securitizations						56						0						0						0						0						0						0						0						0						56						0
Net derivative assets (liabilities)(3)						34						8						0						0						0						13						(2)						0						(9)						44						0

						Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
						Nine Months Ended September 30, 2020
												Total Gains (Losses) (Realized/Unrealized)																																																						Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of September 30, 2020(1)
(Dollars in millions)						Balance, January 1, 2020						Included in Net Income(1)						Included in OCI						Purchases						Sales						Issuances						Settlements						Transfers Into Level 3						Transfers Out of Level 3						Balance, September 30, 2020
Securities available for sale:(2)(4)
RMBS						$	433					$	19					$	(21)					$	0					$	0					$	0					$	(55)					$	196					$	(98)					$	474					$	20
CMBS						13						(1)						0						0						0						0						(11)						371						0						372						(4)
Total securities available for sale						446						18						(21)						0						0						0						(66)						567						(98)						846						16
Other assets:
Retained interests in securitizations						66						(10)						0						0						0						0						0						0						0						56						(10)
Net derivative assets (liabilities)(3)						26						20						0						0						0						39						(30)						0						(11)						44						18

						Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
						Three Months Ended September 30, 2019
												Total Gains (Losses) (Realized/Unrealized)																																																						Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of September 30, 2019(1)
(Dollars in millions)						Balance, July 1, 2019						Included in Net Income(1)						Included in OCI						Purchases						Sales						Issuances						Settlements						Transfers Into Level 3						Transfers Out of Level 3						Balance, September 30, 2019
Securities available for sale:(2)
RMBS						$	515					$	10					$	0					$	0					$	0					$	0					$	(18)					$	59					$	(114)					$	452					$	9
CMBS						9						0						0						0						0						0						(1)						0						0						8						0
Total securities available for sale						524						10						0						0						0						0						(19)						59						(114)						460						9
Other assets:
Retained interests in securitizations						177						(1)						0						0						0						0						(69)						0						0						107						(1)
Net derivative assets (liabilities)(3)						6						(1)						0						0						0						(8)						12						0						(3)						6						1

						Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
						Nine Months Ended September 30, 2019
												Total Gains (Losses) (Realized/Unrealized)																																																						Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of September 30, 2019(1)
(Dollars in millions)						Balance, January 1, 2019						Included in Net Income(1)						Included in OCI						Purchases						Sales						Issuances						Settlements						Transfers Into Level 3						Transfers Out of Level 3						Balance, September 30, 2019
Securities available for sale:(2)
RMBS						$	433					$	27					$	13					$	0					$	0					$	0					$	(43)					$	173					$	(151)					$	452					$	26
CMBS						10						0						0						0						0						0						(2)						0						0						8						0
Total securities available for sale						443						27						13						0						0						0						(45)						173						(151)						460						26
Other assets:
Retained interests in securitizations						158						18						0						0						0						0						(69)						0						0						107						8
Net derivative assets (liabilities)(3)						(10)						4						0						0						0						(21)						39						0						(6)						6						6

__________

(1)Realized gains (losses) on securities available for sale are included in net securities gains (losses), and retained interests in securitizations are reported as a component of non-interest income in our consolidated statements of income. Gains (losses) on derivatives are included as a component of net interest income or non-interest income in our consolidated statements of income.

(2)For the three and nine months ended September 30, 2020, included in OCI related to Level 3 securities available for sale still held as of September 30, 2020 were net unrealized gains of $5 million and net unrealized losses of $16 million, respectively. For the three and nine months ended September 30, 2019, net unrealized gains included in OCI related to Level 3 securities available for sale still held as of September 30, 2019 were $1 million and $11 million, respectively.

(3)Includes derivative assets and liabilities of $153 million and $109 million, respectively, as of September 30, 2020, $82 million and $76 million, respectively, as of September 30, 2019.

(4)The fair value of RMBS as of January 1, 2020 includes a cumulative adjustment of $4 million from the adoption of the CECL standard.

Schedule of Assets and Liabilities Measured at Fair Value on Recurring Basis Quantitative Information

The following table presents the significant unobservable inputs used to determine the fair values of our Level 3 financial instruments on a recurring basis. We utilize multiple vendor pricing services to obtain fair value for our securities. Several of our vendor pricing services are only able to provide unobservable input information for a limited number of securities due to software licensing restrictions. Other vendor pricing services are able to provide unobservable input information for all securities for which they provide a valuation. As a result, the unobservable input information for the securities available for sale presented below represents a composite summary of all information we are able to obtain. The unobservable input information for all other Level 3 financial instruments is based on the assumptions used in our internal valuation models.

Table 11.3: Quantitative Information about Level 3 Fair Value Measurements

Quantitative Information about Level 3 Fair Value Measurements

(Dollars in millions)

Fair Value at September 30, 2020

Significant Valuation Techniques

Significant Unobservable Inputs

Range

Weighted Average(1)

Securities available for sale:

RMBS

$

474

Discounted cash flows (vendor pricing)

Yield Voluntary prepayment rate Default rate Loss severity

1-12% 5-15% 1-11% 30-100%

3% 9% 2% 68%

CMBS

372

Discounted cash flows (vendor pricing)

Yield

1-3%

1%

Other assets:

Retained interests in securitizations(2)

56

Discounted cash flows

Life of receivables (months) Voluntary prepayment rate Discount rate Default rate Loss severity

36-52 3-13% 2-12% 3% 64-70%

N/A

Net derivative assets (liabilities)

44

Discounted cash flows

Swap rates

1%

1%

Quantitative Information about Level 3 Fair Value Measurements

(Dollars in millions)

Fair Value at December 31, 2019

Significant Valuation Techniques

Significant Unobservable Inputs

Range

Weighted Average(1)

Securities available for sale:

RMBS

$

429

Discounted cash flows (vendor pricing)

Yield Voluntary prepayment rate Default rate Loss severity

2-18% 0-18% 1-6% 30-95%

5% 10% 2% 67%

CMBS

13

Discounted cash flows (vendor pricing)

Yield

2-3%

2%

Other assets:

Retained interests in securitizations(2)

66

Discounted cash flows

Life of receivables (months) Voluntary prepayment rate Discount rate Default rate Loss severity

35-51 4-14% 3-10% 2-3% 74-88%

N/A

Net derivative assets (liabilities)

26

Discounted cash flows

Swap rates

2%

2%

__________

(1)Weighted averages are calculated by using the product of the input multiplied by the relative fair value of the instruments.

(2)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.

Schedule of Assets Measured at Fair Value on Nonrecurring Basis

The following table presents the carrying value of the assets measured at fair value on a nonrecurring basis and still held as of September 30, 2020 and December 31, 2019, and for which a nonrecurring fair value measurement was recorded during the nine and twelve months then ended.

Table 11.4: Nonrecurring Fair Value Measurements

						September 30, 2020
						Estimated Fair Value Hierarchy												Total
(Dollars in millions)						Level 2						Level 3
Loans held for investment						$	0					$	294					$	294
Other assets(1)						0						55						55
Total						$	0					$	349					$	349

						December 31, 2019
						Estimated Fair Value Hierarchy												Total
(Dollars in millions)						Level 2						Level 3
Loans held for investment						$	0					$	294					$	294
Other assets(1)						0						103						103
Total						$	0					$	397					$	397

__________

(1)As of September 30, 2020, other assets included equity investments accounted for under the measurement alternative of $14 million, repossessed assets of $35 million and long-lived assets held for sale of $6 million. As of December 31, 2019, other assets included equity investments accounted for under the measurement alternative of $5 million, repossessed assets of $61 million and long-lived assets held for sale of $37 million.

Schedule of Earnings Related to Assets Measured at Fair Value on Nonrecurring Basis

The following table presents total nonrecurring fair value measurements for the period, included in earnings, attributable to the change in fair value relating to assets that are still held at September 30, 2020 and 2019.

Table 11.5: Nonrecurring Fair Value Measurements Included in Earnings

						Total Gains (Losses)
						Nine Months Ended September 30,
(Dollars in millions)						2020						2019
Loans held for investment						$	187					$	(189)
Loans held for sale						0						(1)
Other assets(1)						(42)						(60)
Total						$	145					$	(250)

__________

(1)Other assets include fair value adjustments related to repossessed assets, long-lived assets held for sale and equity investments accounted for under the measurement alternative.

Schedule of Fair Value of Financial Instruments

The following table presents the carrying value and estimated fair value, including the level within the fair value hierarchy, of our financial instruments that are not measured at fair value on a recurring basis on our consolidated balance sheets as of September 30, 2020 and December 31, 2019.

Table 11.6: Fair Value of Financial Instruments

						September 30, 2020
						Carrying Value						Estimated Fair Value						Estimated Fair Value Hierarchy
(Dollars in millions)																		Level 1						Level 2						Level 3
Financial assets:
Cash and cash equivalents						$	44,106					$	44,106					$	4,267					$	39,839					$	0
Restricted cash for securitization investors						895						895						895						0						0
Net loans held for investment						232,094						239,525						0						0						239,525
Loans held for sale						2,178						2,277						0						2,277						0
Interest receivable						1,551						1,551						0						1,551						0
Other investments(1)						1,341						1,341						0						1,341						0
Financial liabilities:
Deposits with defined maturities						38,973						39,414						0						39,414						0
Securitized debt obligations						13,566						13,770						0						13,770						0
Senior and subordinated notes						28,448						28,928						0						28,928						0
Federal funds purchased and securities loaned or sold under agreements to repurchase						702						702						0						702						0
Interest payable						332						332						0						332						0

						December 31, 2019
						Carrying Value						Estimated Fair Value						Estimated Fair Value Hierarchy
(Dollars in millions)																		Level 1						Level 2						Level 3
Financial assets:
Cash and cash equivalents						$	13,407					$	13,407					$	4,129					$	9,278					$	0
Restricted cash for securitization investors						342						342						342						0						0
Net loans held for investment						258,601						258,696						0						0						258,696
Loans held for sale						149						149						0						149						0
Interest receivable						1,758						1,758						0						1,758						0
Other investments(1)						1,638						1,638						0						1,638						0
Financial liabilities:
Deposits with defined maturities						44,958						45,225						0						45,225						0
Securitized debt obligations						17,808						17,941						0						17,941						0
Senior and subordinated notes						30,472						31,233						0						31,233						0
Federal funds purchased and securities loaned or sold under agreements to repurchase						314						314						0						314						0
Other borrowings(2)						7,000						7,001						0						7,001						0
Interest payable						439						439						0						439						0

__________

(1)Other investments include FHLB and Federal Reserve stock. These investments are included in other assets on our consolidated balance sheets.

(2)Other borrowings excludes finance lease liabilities.

X

- Definition

Fair Value Assets Measured On Non Recurring Basis Gain Loss Included In Earnings [Table Text Block]

+ References

No definition available.

+ Details

Name:	cof_FairValueAssetsMeasuredOnNonRecurringBasisGainLossIncludedInEarningsTableTextBlock
Namespace Prefix:	cof_
Data Type:	nonnum:textBlockItemType
Balance Type:	na
Period Type:	duration

X

- Definition

Tabular disclosure of input and valuation technique used to measure fair value and change in valuation approach and technique for each separate class of asset and liability measured on recurring and nonrecurring basis.

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
-Subparagraph (bbb)
-URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258

+ Details

Name:	us-gaap_FairValueAssetsAndLiabilitiesMeasuredOnRecurringAndNonrecurringBasisValuationTechniquesTableTextBlock
Namespace Prefix:	us-gaap_
Data Type:	nonnum:textBlockItemType
Balance Type:	na
Period Type:	duration

X

- Definition

Tabular disclosure of assets and liabilities by class, including financial instruments measured at fair value that are classified in shareholders' equity, if any, that are measured at fair value on a nonrecurring basis in periods after initial recognition (for example, impaired assets). Disclosures may include, but are not limited to: (a) the fair value measurements recorded and the reasons for the measurements and (b) the level within the fair value hierarchy in which the fair value measurements are categorized in their entirety (levels 1, 2, 3).

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
-Subparagraph (b)
-URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258

Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
-Subparagraph (bbb)
-URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258

Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
-Subparagraph (a)
-URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258

+ Details

Name:	us-gaap_FairValueAssetsMeasuredOnNonrecurringBasisTextBlock
Namespace Prefix:	us-gaap_
Data Type:	nonnum:textBlockItemType
Balance Type:	na
Period Type:	duration

X

- Definition

Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income (loss), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset.

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 3
-URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19279-110258

Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
-Subparagraph (c)
-URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258

+ Details

Name:	us-gaap_FairValueAssetsMeasuredOnRecurringBasisUnobservableInputReconciliationTextBlock
Namespace Prefix:	us-gaap_
Data Type:	nonnum:textBlockItemType
Balance Type:	na
Period Type:	duration

X

- Definition

Tabular disclosure of the fair value of financial instruments, including financial assets and financial liabilities, and the measurements of those instruments, assets, and liabilities.

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 825
-SubTopic 10
-Section 50
-Paragraph 11
-URI http://asc.fasb.org/extlink&oid=121572278&loc=d3e13467-108611

Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
-Subparagraph (a)
-URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258

+ Details

Name:	us-gaap_FairValueByBalanceSheetGroupingTextBlock
Namespace Prefix:	us-gaap_
Data Type:	nonnum:textBlockItemType
Balance Type:	na
Period Type:	duration

X

- References

No definition available.

+ Details

Name:	us-gaap_FairValueDisclosuresAbstract
Namespace Prefix:	us-gaap_
Data Type:	xbrli:stringItemType
Balance Type:	na
Period Type:	duration

X

- Definition

Tabular disclosure of assets and liabilities, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3).

+ References

Reference 1: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
-Subparagraph (b)
-URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258

Reference 2: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
-Subparagraph (a)
-URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258

+ Details

Name:	us-gaap_ScheduleOfFairValueAssetsAndLiabilitiesMeasuredOnRecurringBasisTableTextBlock
Namespace Prefix:	us-gaap_
Data Type:	nonnum:textBlockItemType
Balance Type:	na
Period Type:	duration