Capital One 2009 Annual Report Download - page 139

126
The following tables show the weighted average yield by investment category for expected maturities as of December 31, 2009 and
2008, respectively.
Weighted Average Yield Schedule
1 Year
or Less 1–5 Years 5–10 Years
Over 10
Years
December 31, 2009
U.S. Treasury and other U.S. government agency obligations
U.S. Treasury ........................................................................................ — % 2.37% — % — %
FNMA ................................................................................................... 4.34 4.51 — —
FHMLC ................................................................................................. — 4.63 3.29 —
Other GSE and FDIC DGP ................................................................... — 5.44 — —
Total U.S. Treasury and other U.S. government agency obligations .... 4.34 3.36 3.29 —
CMO
FNMA ................................................................................................... 4.99 5.13 4.73 —
FHLMC ................................................................................................. 5.16 5.25 5.35 —
GNMA .................................................................................................. 4.57 4.37 4.27 —
Non GSE ............................................................................................... 5.75 5.58 5.13 6.58
Total CMO ............................................................................................ 5.31 5.26 4.74 6.58
MBS
FNMA ................................................................................................... 5.34 4.98 4.95 5.12
FHMLC ................................................................................................. 5.55 4.32 5.26 5.23
GNMA .................................................................................................. 6.71 6.17 4.86 —
Other GSE ............................................................................................. — 3.44 — —
Non GSE ............................................................................................... 5.89 5.95 5.99 —
Total MBS ............................................................................................ 5.40 5.06 4.91 5.18
Asset-backed securities .................................................................................. 3.36 4.00 4.87 —
Other ............................................................................................................... 2.71 4.19 4.60 0.56
Total ............................................................................................................... 3.56% 4.74% 4.90% 5.04%
Weighted Average Yield Schedule
1 Year
or Less 1–5 Years 5–10 Years
Over 10
Years
December 31, 2008
U.S. Treasury and other U.S. government agency obligations .......................
U.S. Treasury ........................................................................................ 4.04% 4.15% — % — %
FNMA ................................................................................................... 4.68 4.41 — —
FHLMC ................................................................................................. 4.00 4.59 — —
Other GSE and FDIC DGP ................................................................... 4.81 3.13 — —
Total U.S. Treasury and other U.S. government agency obligations .... 4.65 3.67 — —
CMO
FNMA ................................................................................................... 4.98 5.53 5.50 —
FHLMC ................................................................................................. 5.23 5.22 — —
GNMA .................................................................................................. 4.61 4.89 — —
Other GSE ............................................................................................. — 5.27 — —
Non GSE ............................................................................................... 5.72 5.51 6.10 6.58
Total CMO ............................................................................................ 5.14 5.37 5.51 6.58
MBS
FNMA ................................................................................................... 4.05 5.31 5.48 —
FHLMC ................................................................................................. 6.00 4.79 5.89 —
GNMA .................................................................................................. 7.08 5.65 — —
Other GSE ............................................................................................. — 3.43 — —
Non GSE ............................................................................................... 6.30 5.96 — —
Total MBS ............................................................................................ 5.76 5.21 5.50 —
Asset-backed securities .................................................................................. 4.07 4.72 5.16 —
Other ............................................................................................................... 3.74 4.21 4.75 5.49
Total ............................................................................................................... 4.63% 5.15% 5.20% 5.53%