Capital One 2014 Annual Report Download - page 182

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160
December 31, 2013
Less than 12 Months 12 Months or Longer Total
Gross Gross Gross
Unrealized Unrealized Unrealized
(Dollars in millions) Fair Value Losses Fair Value Losses Fair Value 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)
As of December 31, 2014, the amortized cost of approximately 500 securities available for sale exceeded their fair
value by $237 million, of which $206 million related to investment securities that had been in a loss position for 12
months or longer. As of December 31, 2014, our investments in non-agency RMBS and CMBS, other ABS, and
other securities accounted for $51 million, or 21%, of total gross unrealized losses on securities available for sale.
As of December 31, 2014, the carrying value of approximately 20 securities classified as held to maturity exceeded
their fair value by $6 million.
Gross unrealized losses on our investment securities have generally decreased since December 31, 2013. The
unrealized losses related to investment securities for which we have not recognized credit impairment are primarily
attributable to changes in market interest rates. As discussed in more detail below, we conduct periodic reviews of all
investment securities with unrealized losses to assess whether impairment is other-than-temporary. We believe the
securities with an unrealized loss in AOCI are not other-than-temporarily impaired as of December 31, 2014.
CAPITAL ONE FINANCIAL CORPORATION
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS—(Continued)
Capital One Financial Corporation (COF)