Capital One 2015 Annual Report Download - page 157

CAPITAL ONE FINANCIAL CORPORATION
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
138 Capital One Financial Corporation (COF)
NOTE 4—INVESTMENT SECURITIES
Our investment portfolio consists primarily of the following: U.S. Treasury securities; corporate debt securities guaranteed by U.S.
government agencies; U.S. government-sponsored enterprise or agency (“Agency”) and non-agency residential mortgage-backed
securities (“RMBS”) and commercial mortgage-backed securities (“CMBS”); other asset-backed securities (“ABS”); and other
securities. The carrying value of our investments in U.S. Treasury securities, Agency securities and other securities guaranteed by
the U.S. government or U.S. government agencies represented 90% and 86% of our total investment securities as of December
31, 2015 and 2014, respectively.
Our investment portfolio includes securities available for sale and securities held to maturity. We classify securities as available
for sale or held to maturity based on our investment strategy and management’s assessment of our intent and ability to hold the
securities until maturity.
The table below presents the overview of our investment securities portfolio as of December 31, 2015 and 2014.
Table 4.1: Overview of Investment Securities Portfolio
(Dollars in millions) December 31, 2015 December 31, 2014
Securities available for sale, at fair value . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 39,061 $ 39,508
Securities held to maturity, at carrying value. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24,619 22,500
Total investments securities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 63,680 $ 62,008
The table below presents the amortized cost, gross unrealized gains and losses, and fair value of securities available for sale as of
December 31, 2015 and 2014.
Table 4.2: Investment Securities Available for Sale
December 31, 2015
(Dollars in millions)
Amortized
Cost
Gross
Unrealized
Gains
Gross
Unrealized
Losses(1) Fair Value
Investment securities available for sale:
U.S. Treasury securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 4,664 $ 5 $ (9) $ 4,660
RMBS:
Agency(2) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24,332 165 (212) 24,285
Non-agency . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,680 368 (22) 3,026
Total RMBS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27,012 533 (234) 27,311
CMBS:
Agency(2) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,690 21 (47) 3,664
Non-agency . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,723 16 (24) 1,715
Total CMBS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,413 37 (71) 5,379
Other ABS(3) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,345 1 (6) 1,340
Other securities(4) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 370 2 (1) 371
Total investment securities available for sale. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 38,804 $ 578 $ (321) $ 39,061