Capital One 2013 Annual Report Download - page 179
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CAPITAL ONE FINANCIAL CORPORATION
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS—(Continued)
December 31, 2012
(Dollars in millions)
Amortized
Cost
Unrealized
Losses
Recorded
in AOCI(1)
Carrying
Value
Gross
Unrealized
Gains
Gross
Unrealized
Losses
Fair
Value
Investment securities held to maturity:
Other ABS .............................. $9 $0 $9 $0 $0 $9
Total investment securities held to maturity . . . . $9 $0 $9 $0 $0 $9
(1) Represents the unrealized holding gain or loss at the date of transfer from available for sale to held to maturity, net of any accretion.
Investment Securities in a Gross Unrealized Loss Position
The table below provides, by major security type, information about our securities available for sale 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, 2013 and December 31, 2012.
Table 3.4: Securities in Unrealized Loss Position
December 31, 2013
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
Investment securities available for sale:
Corporate debt securities guaranteed by
U.S. government agencies ........... $ 1,143 $ (47) $ 46 $ (2) $ 1,189 $ (49)
RMBS:
Agency ........................ 9,769 (263) 1,770 (69) 11,539 (332)
Non-agency ..................... 454 (10) 56 (5) 510 (15)
Total RMBS ........................ 10,223 (273) 1,826 (74) 12,049 (347)
CMBS:
Agency ........................ 2,842 (74) 256 (10) 3,098 (84)
Non-agency ..................... 952 (43) 183 (17) 1,135 (60)
Total CMBS ........................ 3,794 (117) 439 (27) 4,233 (144)
Other ABS ......................... 2,528 (34) 392 (2) 2,920 (36)
Other securities ...................... 1,149 (51) 57 (4) 1,206 (55)
Total investment securities available for
sale in a gross unrealized loss
position .......................... $18,837 $(522) $2,760 $(109) $21,597 $(631)
159