I've had this happen. When the fraud department for my credit card company called and I said I wanted to call them back to verify, they gave me a code to enter after I called to go straight back to the agent. It was great.
I recall the same happening. Capital One, I believe.
I really, really thought it was fraud at first until they basically said "yep, go for it, use the number on the back of your card then give us this code".
