Capital One 2006 Annual Report Download - page 100

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82
Securities available for sale included pledged securities of $9.5 billion and $5.1 billion at December 31, 2006 and 2005,
respectively.
Unrealized gains (losses) on securities included gross unrealized gains of $62.2 million, $52.3 million and $28.2 million, and
gross unrealized losses of $154.5 million, $184.5 million and $70.3 million, as of December 31, 2006, 2005 and 2004,
respectively.
The following table shows the Companys investments gross unrealized losses and fair value of the investments in an
unrealized loss position, aggregated by investment category, at December 31, 2006 and 2005.
Less than 12 Months
Greater than 12
Months Total
Fair
Value
Unrealized
Losses
Fair
Value
Unrealized
Losses Fair Value
Unrealized
Losses
December 31, 2006
U.S. Treasury and other U.S.
government agency obligations $ 604,830 $ 3,779 $ 1,461,583 $ 17,245 $ 2,066,413 $ 21,024
Collateralized mortgage
obligations 2,105,803 16,464 4,156,371 62,290 6,262,174 78,754
Mortgage backed securities 1,124,073 6,381 3,112,745 35,895 4,236,818 42,276
Asset backed securities 183,651 591 983,371 9,803 1,167,022 10,394
Other 599,211 1,642 38,552 411 637,763 2,053
Total $ 4,617,568 $ 28,857 $ 9,752,622 $ 125,644 $ 14,370,190 $ 154,501
December 31, 2005
U.S. Treasury and other U.S.
government agency obligations $ 1,639,450 $ 21,013 $ 2,302,986 $ 56,448 $ 3,942,436 $ 77,461
Collateralized mortgage
obligations 1,633,672 27,716 1,613,960 48,347 3,247,632 76,063
Mortgage backed securities 1,119,539 14,115 350,523 12,282 1,470,062 26,397
Asset backed securities 560,506 2,759 105,579 1,513 666,085 4,272
Other 95,993 350 95,993 350
Total $ 5,049,160 $ 65,953 $ 4,373,048 $ 118,590 $ 9,422,208 $ 184,543
The Company has determined that these investments have only temporary impairment based on a number of criteria,
including the timeframe of the unrealized loss position, the nature of the investments and the Companys intent and ability to
hold the fixed income securities until a recovery of fair value, which may be maturity, occurs.
U.S. Treasury and other U.S. government agency Obligations. The unrealized losses on the Companys investments in
U.S. Treasury obligations and direct obligations of U.S. government agencies were caused by interest rate increases. The
contractual terms of these investments do not permit the issuer to settle the securities at a price less than the amortized cost of
the investment. Because the Company has the ability and intent to hold these investments until a recovery of fair value, which
may be maturity, the Company does not consider these investments to be other-than-temporarily impaired at December 31,
2006 and 2005.
Collateralized Mortgage Obligations. The unrealized losses on the Companys investment in collateralized mortgage
obligations were primarily caused by interest rate increases. Since the decline in market value is primarily attributable to
changes in interest rates and not credit quality and because the Company has the ability and intent to hold these investments
until a recovery of fair value, which may be maturity, the Company does not consider these investments to be other-than-
temporarily impaired at December 31, 2006 and 2005.
Mortgage-Backed Securities. The unrealized losses of the Companys investment in federal agency mortgage-backed
securities were primarily caused by interest rate increases. The contractual cash flows of these investments are guaranteed by
an agency of the U.S. government. Accordingly, it is expected that the securities would not be settled at a price less than the
amortized cost of the Companys investment. Since the decline in market value is attributable to changes in interest rates and
not credit quality and because the Company has the ability and intent to hold these investments until a recovery of fair value,
which may be maturity, the Company does not consider these investments to be other-than-temporarily impaired at
December 31, 2006 and 2005.