Capital One 2013 Annual Report Download - page 182
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CAPITAL ONE FINANCIAL CORPORATION
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS—(Continued)
Table 3.7: Expected Maturities and Weighted Average Yields of Securities
December 31, 2013
Due in 1 Year
or Less
Due > 1 Year
through
5 Years
Due > 5 Years
through
10 Years Due > 10 Years Total
(Dollars in millions) Amount Amount Amount Amount Amount
Fair value of securities available for sale:
U.S. Treasury debt obligations ........... $ 663 $ 170 $ 0 $ 0 $ 833
U.S. Agency debt obligations ............ 1 0 0 01
Corporate debt securities guaranteed by U.S.
government agencies ................. 0 220 1,001 13 1,234
RMBS:
Agency ......................... 94 5,721 15,664 0 21,479
Non-agency ...................... 42 1,605 1,547 406 3,600
Total RMBS ......................... 136 7,326 17,211 406 25,079
CMBS:
Agency ......................... 358 2,884 956 0 4,198
Non-agency ...................... 110 481 1,199 18 1,808
Total CMBS ......................... 468 3,365 2,155 18 6,006
Other ABS ........................... 1,580 4,628 808 120 7,136
Other securities(1) ..................... 174 503 718 116 1,511
Total securities available for sale ......... 3,022 16,212 21,893 673 41,800
Amortized cost of securities available for
sale .............................. $3,019 $16,028 $22,001 $ 584 $41,632
Weighted average yield for securities
available for sale(2) .................. 1.25% 2.29% 2.68% 7.57% 2.50%
Carrying value of securities held to
maturity:
RMBS:
Agency ......................... $ 0 $ 0 $11,845 $5,598 $17,443
CMBS:
Agency ......................... 0 400 1,281 8 1,689
Total securities held for maturity ......... 0 400 13,126 5,606 19,132
Fair value of securities held to
maturity .......................... $ 0 $ 400 $13,164 $5,621 $19,185
Weighted average yield for securities held
to maturity(2) ...................... 0.00% 3.46% 3.09% 3.33% 3.17%
(1) Yields of tax-exempt securities are calculated on a fully taxable-equivalent (“FTE”) basis.
(2) Yields are calculated based on the amortized cost of each security.
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