Capital One 2012 Annual Report Download - page 185

CAPITAL ONE FINANCIAL CORPORATION
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS—(Continued)
(2) Represents the amount of cumulative gross unrealized losses on securities for which we have not recognized OTTI.
(3) Includes debt securities issued by Fannie Mae and Freddie Mac with an amortized cost of $300 million and $130 million as of
December 31, 2012 and 2011, respectively, and fair value of $302 million and $137 as of December 31, 2012 and 2011, respectively.
The remaining balance consists of debt explicitly or implicitly guaranteed by the U.S. Government.
(4) Includes Mortgage-backed Securities (“MBS”) issued by Fannie Mae, Freddie Mac and Ginnie Mae, each of which individually
exceeded 10% of our stockholders’ equity as of the end of each reported period. Fannie Mae MBS had an amortized cost of $22.9 billion
and $12.3 billion as of December 31, 2012, and 2011, respectively, and a fair value of $23.2 billion and $12.6 billion as of December 31,
2012 and 2011, respectively. Freddie Mac MBS had an amortized cost of $12.6 billion and $8.9 billion as of December 31, 2012 and
2011, respectively, and a fair value of $12.9 billion and $9.1 billion as of December 31, 2012 and 2011, respectively. Ginnie Mae MBS
had an amortized cost of $9.9 billion and $4.5 billion as of December 31, 2012 and 2011, respectively, and a fair value of $10.0 billion
and $4.5 billion as of December 31, 2012 and 2011, respectively.
(5) This portfolio was collateralized by approximately 64% credit card loans, 18% auto dealer floor plan inventory loans and leases, 6% auto
loans, 1% student loans, 5% equipment loans, 2% commercial paper, and 4% other as of December 31, 2012. In comparison, the
distribution was approximately 75% credit card loans, 11% auto dealer floor plan inventory loans and leases, 6% auto loans, 4% student
loans, 2% equipment loans, and 2% other as of December 31, 2011. Approximately 82% of the securities in our other asset-backed
security portfolio were rated AAA or its equivalent as of December 31, 2012, compared with 86% as of December 31, 2011.
(6) Includes foreign government/agency bonds, covered bonds, municipal securities and equity investments primarily related to CRA
activities
Securities Available for Sale in a Gross Unrealized Loss Position
The table below provides, by major security type, information about our available-for-sale investment securities
in a gross unrealized loss position and the length of time that individual securities have been in a continuous
unrealized loss position as of December 31, 2012 and 2011.
December 31, 2012
Less than 12 Months 12 Months or Longer Total
(Dollars in millions) Fair Value
Gross
Unrealized
Losses Fair Value
Gross
Unrealized
Losses Fair Value
Gross
Unrealized
Losses
Securities available for sale:
US Treasury Obligations .............. $ 371 $ (2) $ 0 $ 0 $ 371 $ (2)
RMBS:
Agency(1) ....................... 8,720 (46) 884 (12) 9,604 (58)
Non-agency ..................... 196 (19) 471 (29) 667 (48)
Total RMBS ........................ 8,916 (65) 1,355 (41) 10,271 (106)
CMBS:
Agency(1) ....................... 1,009 (4) 0 0 1,009 (4)
Non-agency ..................... 201 (2) 0 0 201 (2)
Total CMBS ........................ 1,210 (6) 0 0 1,210 (6)
ABS .............................. 1,102 (4) 99 (1) 1,201 (5)
Other .............................. 103 0 13 (1) 116 (1)
Total securities available for sale in a gross
unrealized loss position ............. $11,702 $(77) $1,467 $(43) $13,169 $(120)
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