Capital One 2006 Annual Report Download - page 70

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Table 11: Interest Rate Sensitivity
As of December 31, 2006
Subject to Repricing
(Dollars in Millions) Within
180 Days
>180 Days-
1 Year
>1 Year-
5 Years
Over
5 Years
Earning assets:
Federal funds sold and resale agreements $ 1,099 $  $  $ 
Interest-bearing deposits at other banks 744   
Securities available for sale 1,800 1,432 7,954 4,266
Mortgage loans held for sale 6,201 566 2,697 971
Other 237 52 434 97
Loans held for investment 39,169 8,666 32,541 16,136
Total earning assets 49,250 10,716 43,626 21,470
Interest-bearing liabilities:
Interest-bearing deposits 39,491 8,725 20,558 5,349
Senior and subordinated notes 462  5,265 3,998
Other borrowings 17,155 2,353 4,735 14
Total interest-bearing liabilities 57,108 11,078 30,558 9,361
Non-rate related net items 4,197 (1,489) (7,562) (12,103)
Interest sensitivity gap (3,661) (1,851) 5,506 6
Impact of swaps 10,812 (1,217) (10,171) 576
Impact of consumer loan securitizations (9,168) 3,256 1,882 4,030
Interest sensitivity gap adjusted for impact of
securitizations and swaps (2,017) 188 (2,783) 4,612
Adjusted gap as a percentage of managed assets (1.01)% 0.09% (1.40)% 2.32%
Adjusted cumulative gap (2,017) (1,829) (4,612) 
Adjusted cumulative gap as a percentage of managed
assets (1.01)% (0.92)% (2.32)% 0.00%
Foreign Exchange Risk
The Company is exposed to changes in foreign exchange rates which may impact translated income and expense associated
with foreign operations. In order to limit earnings exposure to foreign exchange risk, the Companys Asset/Liability
Management Policy requires that material foreign currency denominated transactions be hedged. As of December 31, 2006,
the estimated reduction in 12-month earnings due to adverse foreign exchange rate movements corresponding to a 95%
probability is less than 1%. The precision of this estimate is also limited due to the inherent uncertainty of the underlying
forecast assumptions.
X. Capital
Capital Adequacy
The Company and the Bank are subject to capital adequacy guidelines adopted by the Federal Reserve Board (the Federal
Reserve), the Savings Bank is subject to capital adequacy guidelines adopted by the Office of Thrift Supervision (the
OTS), CONA and Superior are subject to capital adequacy guidelines adopted by the Office of the Comptroller of the
Currency (the OCC), and North Fork Bank is subject to capital adequacy guidelines adopted by the Federal Deposit
Insurance Corporation (the FDIC) (collectively the regulators). The capital adequacy guidelines require the Company,
the Bank, the Savings Bank, CONA, Superior and North Fork Bank to maintain specific capital levels based upon
quantitative measures of their assets, liabilities and off-balance sheet items. In addition, the Bank, Savings Bank, CONA,
Superior and North Fork Bank must also adhere to the regulatory framework for prompt corrective action.
The most recent notifications received from the regulators categorized the Bank, the Savings Bank, CONA, Superior and
North Fork Bank as well-capitalized. As of December 31, 2006, the Companys, the Banks, the Savings Banks, CONAs,
Superiors and North Fork Banks capital exceeded all minimum regulatory requirements to which they were subject, and
there were no conditions or events since the notifications discussed above that management believes would have changed
either the Companys, the Banks, the Savings Banks, CONAs, Superiors or North Fork Banks capital category.