Capital One 2012 Annual Report Download - page 184

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CAPITAL ONE FINANCIAL CORPORATION
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS—(Continued)
December 31, 2012
(Dollars in millions)
Amortized
Cost
Total
Gross
Unrealized
Gains
Gross
Unrealized
Losses-
OTTI(1)
Gross
Unrealized
Losses-
Other(2)
Total
Gross
Unrealized
Losses
Fair
Value
Securities available for sale:
U.S. Treasury debt obligations ........... $ 1,548 $ 4 $ 0 $ 0 $ 0 $ 1,552
U.S. agency debt obligations(3) ........... 1,304 12 0 (2) (2) 1,314
Residential mortgage-backed securities
(“RMBS”):
Agency(4) ........................ 39,408 652 0 (58) (58) 40,002
Non-agency ...................... 3,607 312 (38) (10) (48) 3,871
Total RMBS .......................... 43,015 964 (38) (68) (106) 43,873
Commercial mortgage-backed securities
(“CMBS”):
Agency(4) ........................ 6,045 103 0 (4) (4) 6,144
Non-agency ...................... 1,425 62 0 (2) (2) 1,485
Total CMBS .......................... 7,470 165 0 (6) (6) 7,629
Other asset-backed securities (“ABS”)(5) ... 8,393 70 0 (5) (5) 8,458
Other(6) .............................. 1,120 34 0 (1) (1) 1,153
Total securities available for sale ......... $62,850 $1,249 $ (38) $(82) $(120) $63,979
December 31, 2011
(Dollars in millions)
Amortized
Cost
Total
Gross
Unrealized
Gains
Gross
Unrealized
Losses-
OTTI(1)
Gross
Unrealized
Losses-
Other(2)
Total
Gross
Unrealized
Losses
Fair
Value
Securities available for sale:
U.S. Treasury debt obligations ........... $ 115 $ 9 $ 0 $ 0 $ 0 $ 124
U.S. agency debt obligations(3) ........... 131 7 0 0 0 138
Residential mortgage-backed securities
(“RMBS”):
Agency(4) ........................ 24,980 539 0 (31) (31) 25,488
Non-agency ...................... 1,340 1 (170) (9) (179) 1,162
Total RMBS .......................... 26,320 540 (170) (40) (210) 26,650
Commercial mortgage-backed securities
(“CMBS”):
Agency(4) ........................ 697 14 0 0 0 711
Non-agency ...................... 459 17 0 0 0 476
Total CMBS .......................... 1,156 31 0 0 0 1,187
Other asset-backed securities (“ABS”)(5) . . . 10,119 45 0 (14) (14) 10,150
Other(6) .............................. 462 51 0 (3) (3) 510
Total securities available for sale ......... $38,303 $ 683 $(170) $(57) $(227) $38,759
(1) Represents the amount of cumulative non-credit other-than-temporary impairment (“OTTI”) losses recorded in AOCI. These losses are
included in total gross unrealized losses.
165