Capital One 2008 Annual Report Download - page 125
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107
Weighted Average Yields
1 Year
or Less
15
Years
510
Years
Over 10
Years
Collateralized mortgage obligations
Fannie Mae.................................................................................................................
.
5.15 5.32 5.28
Freddie Mac................................................................................................................
.
4.28 5.16 5.42
Other GSE ..................................................................................................................
.
4.92
Non GSE ....................................................................................................................
.
5.76 5.57 5.30 6.58
Total CMO .................................................................................................................
.
4.98 5.32 5.38 6.58
Mortgage backed securities
Fannie Mae.................................................................................................................
.
5.39 5.87 5.15
Freddie Mac................................................................................................................
.
7.45 5.60 5.00
Other GSE ..................................................................................................................
.
6.30 6.09 5.56
Non GSE ....................................................................................................................
.
5.89
Total MBS..................................................................................................................
.
5.52 5.81 5.17
Asset backed securities ........................................................................................................
.
4.77 4.88 5.01
Other ....................................................................................................................................
.
4.57 4.20 4.54 4.98
Total.....................................................................................................................................
.
4.75 % 5.42% 5.08% 5.06 %
December 31, 2006(1)
U.S. Treasury and other U.S. government agency obligations
U.S. Treasury..............................................................................................................
.
% 4.06% 4.27% %
Fannie Mae.................................................................................................................
.
3.67 4.86 4.43
Freddie Mac................................................................................................................
.
3.41 4.72 4.59
Other GSE ..................................................................................................................
.
3.67 4.78 5.44
Total U.S. Treasury and other U.S. government agency obligations .........................
.
3.58 4.75 4.42 5.44
Collateralized mortgage obligations
Fannie Mae.................................................................................................................
.
5.22 5.20 5.35
Freddie Mac................................................................................................................
.
5.28 5.11 5.43
Other GSE ..................................................................................................................
.
5.13 5.39
Non GSE ....................................................................................................................
.
4.44 5.14 4.81 4.82
Total CMO .................................................................................................................
.
5.08 5.14 5.34 4.82
Mortgage backed securities
Fannie Mae.................................................................................................................
.
6.48 5.76 5.66 6.28
Freddie Mac................................................................................................................
.
7.62 5.33 5.03
Other GSE ..................................................................................................................
.
4.83 5.34 5.85 3.41
Total MBS..................................................................................................................
.
4.92 5.69 5.45 5.87
Asset backed securities ........................................................................................................
.
4.47 4.87 5.60
Other ....................................................................................................................................
.
4.12 3.82 3.83 5.17
Total.....................................................................................................................................
.
4.03 % 5.21% 5.10% 5.24 %
(1) Certain information disclosed for the years ended December 31, 2007, and 2006 has been revised in these tables from the
versions that appeared in prior 10-Ks to reflect a change in methodology to certain weighted average yield information and to
reclassify securities among investment categories and to make certain other immaterial changes. Weighted Average Yields have
been recalculated using different prepayment assumptions, resulting in a more precise weighted average remaining life for our
investments. For the year ended December 31, 2006, the Company used median prepayment speed projections obtained from a
number of dealers which resulted in longer weighted average remaining life. For the year ended December 31, 2007, the
Company used expected yield to maturity instead of average book yield.