Capital One 1996 Annual Report Download - page 48

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Note B Securities Available for Sale
Securities available for sale as of December 31, 1996 were as follows: Maturity Schedule
Market Amortized
1 Year 1-5 Over 10 Value Cost
or less Years Years Totals Totals
Commercial Paper $ 84,297 $ 84,297 $ 84,297
U.S. Government Agency Discount Notes 243,302 243,302 243,258
U.S. Treasury Notes 150,281 $354,680 504,961 501,916
Collateralized Mortgage Obligations $20,834 20,834 20,479
Mortgage Backed Securities 11,607 11,607 11,849
$477,880 $354,680 $32,441 $865,001 $861,799
Weighted Average Yields
1 Year 1-5 Over 10
or less Years Years
Commercial Paper 5.90%
U.S. Government Agency Discount Notes 5.54
U.S. Treasury Notes 7.08 7.11%
Collateralized Mortgage Obligations 6.99%
Mortgage Backed Securities 7.02
6.09% 7.11% 7.00%
Securities available for sale as of December 31, 1995
consisted of U.S. Government obligations maturing in
1997 and 1998, which had an amortized cost of $402,250,
a fair value of $413,016 and a weighted average yield
of 7.15%.
46 Capital One
Notes to Consolidated Financial Statements (continued)
(dollars in thousands, except per share data)
Use of Estimates: The preparation of financial statements
in conformity with generally accepted accounting principles
requires management to make estimates and assumptions
that affect the amounts reported in the financial state-
ments and accompanying notes. Actual results could differ
from those estimates.
The Company’s credit exposure on swaps is limited to
the value of the swaps that have become favorable to the
Company in the event of nonperformance by the counter-
parties. The Company does not require collateral from
counterparties on its existing agreements. The Company
actively monitors the credit ratings of counterparties and
does not anticipate nonperformance by the counterparties
with which it transacts its swaps.
Securities available for sale as of December 31, 1994
consisted of a U.S. Government obligation that matured
in March 1995 and had an amortized cost of $99,103, a
fair value of $99,070 and a yield of 5.39%.