Capital One 2012 Annual Report Download - page 186

CAPITAL ONE FINANCIAL CORPORATION
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS—(Continued)
December 31, 2011
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:
RMBS:
Agency(1) ....................... $4,731 $(30) $ 334 $ (1) $5,065 $ (31)
Non-agency ..................... 151 (17) 986 (162) 1,137 (179)
Total RMBS ........................ 4,882 (47) 1,320 (163) 6,202 (210)
CMBS:
Agency(1) ....................... 100 0 0 0 100 0
Non-agency ..................... 67 0 0 0 67 0
Total CMBS ........................ 167 0 0 0 167 0
ABS .............................. 2,084 (11) 81 (3) 2,165 (14)
Other .............................. 198 0 85 (3) 283 (3)
Total securities available for sale in a gross
unrealized loss position ............. $7,331 $(58) $1,486 $(169) $8,817 $(227)
(1) Consists of mortgage-backed securities issued by Fannie Mae, Freddie Mac and Ginnie Mae.
The gross unrealized losses on our available-for-sale securities investment of $120 million as of December 31,
2012 relate to 532 individual securities. Our investments in non-agency MBS and non-agency asset-backed
securities accounted for $55 million, or 46%, of total gross unrealized losses as of December 31, 2012. Of the
$120 million gross unrealized losses as of December 31, 2012, $43 million related to investment securities that
had been in a loss position for more than 12 months. As discussed in more detail below, we conduct periodic
reviews of all investment securities with unrealized losses to assess whether the impairment is other-than-
temporary. Based on our assessments, we have recorded OTTI for a portion of our non-agency residential MBS,
which is discussed in more detail in the Other-than-temporary impairment section of this footnote.
Maturities and Yields of Securities Available for Sale
The following table summarizes the remaining scheduled contractual maturities, assuming no prepayments, of
our investment securities as of December 31, 2012:
December 31, 2012
(Dollars in millions)
Amortized
Cost Fair Value
Due in 1 year or less ........................................................ $ 2,464 $ 2,471
Due after 1 year through 5 years .............................................. 7,002 7,037
Due after 5 years through 10 years ............................................ 4,674 4,756
Due after 10 years(1) ........................................................ 48,710 49,715
Total .................................................................... $62,850 $63,979
(1) Investments with no stated maturities, which consist of equity securities, are included with contractual maturities due after 10 years.
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