Capital One 2007 Annual Report Download - page 102

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80
Unrealized gains (losses) on securities included gross unrealized gains of $113.9 million, $62.2 million and $52.3 million, and gross
unrealized losses of $91.6 million, $154.5 million and $184.5 million, as of December 31, 2007, 2006 and 2005, 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, 2007 and 2006.
Less than 12 Months
Greater than 12
Months Total
Fair
Value
Unrealized
Losses
Fair
Value
Unrealized
Losses Fair Value
Unrealized
Losses
December 31, 2007
U.S. Treasury and other U.S. government
agency obligations $ 74,509 $ 77 $ $ $ 74,509 $ 77
Collateralized mortgage obligations 47,167 414 3,848,835 43,812 3,896,002 44,226
Mortgage backed securities 68,249 855 3,036,435 37,286 3,104,684 38,141
Asset backed securities 103,106 343 178,583 3,941 281,689 4,284
Other 61,163 518 171,390 4,391 232,553 4,909
Total $ 354,194 $ 2,207 $ 7,235,243 $ 89,430 $ 7,589,437 $ 91,637
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
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, 2007 and 2006.
Collateralized Mortgage Obligations. The unrealized losses on the Companys investment in collateralized mortgage obligations
were primarily caused by interest rate and spread volatility. 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, 2007 and 2006.
Mortgage-Backed Securities. The unrealized losses of the Companys investment in federal agency mortgage-backed securities were
primarily caused by interest rate and spread volatility. 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. 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, 2007 and 2006.
Asset-Backed Securities. The unrealized losses on the Companys investments in asset-backed security items were primarily caused
by interest rate and spread volatility. 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,
2007 and 2006.