Capital One 2015 Annual Report Download - page 159

CAPITAL ONE FINANCIAL CORPORATION
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
140 Capital One Financial Corporation (COF)
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,
2015 and 2014.
Table 4.4: Securities in an Unrealized Loss Position
December 31, 2015
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:
U.S. Treasury securities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 3,096 $ (9) $ 1 $ 0 $ 3,097 $ (9)
RMBS:
Agency . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12,025 (110) 4,420 (102) 16,445 (212)
Non-agency . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 355 (10) 155 (12) 510 (22)
Total RMBS. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12,380 (120) 4,575 (114) 16,955 (234)
CMBS:
Agency . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,352 (9) 1,148 (38) 2,500 (47)
Non-agency . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 739 (13) 330 (11) 1,069 (24)
Total CMBS. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,091 (22) 1,478 (49) 3,569 (71)
Other ABS. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 825 (5) 255 (1) 1,080 (6)
Other securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 250 0 19 (1) 269 (1)
Total investment securities available for sale in a gross
unrealized loss position . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 18,642 $ (156) $ 6,328 $ (165) $ 24,970 $ (321)
December 31, 2014
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:
U.S. Treasury securities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,499 $ (1) $ 0 $ 0 $ 1,499 $ (1)
Corporate debt securities guaranteed by U.S. government
agencies . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 113 (2) 557 (18) 670 (20)
RMBS:
Agency . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,917 (15) 4,413 (90) 8,330 (105)
Non-agency . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 412 (9) 90 (4) 502 (13)
Total RMBS. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,329 (24) 4,503 (94) 8,832 (118)
CMBS:
Agency . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 294 (2) 1,993 (58) 2,287 (60)
Non-agency . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 258 (1) 681 (14) 939 (15)
Total CMBS. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 552 (3) 2,674 (72) 3,226 (75)
Other ABS. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 783 (1) 586 (9) 1,369 (10)
Other securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 106 0 551 (13) 657 (13)
Total investment securities available for sale in a gross
unrealized loss position . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 7,382 $ (31) $ 8,871 $ (206) $ 16,253 $ (237)
As of December 31, 2015, the amortized cost of approximately 700 securities available for sale exceeded their fair value by $321
million, of which $165 million related to securities that had been in a loss position for 12 months or longer. As of December 31,