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美国

证券交易委员会

华盛顿特区20549

____________________________________

形式 10-Q

___________________________________

☒			根据1934年《证券交易法》第13或15(D)条规定的季度报告

截至本季度末2024年9月30日

或

☐			根据1934年证券交易法第13或15（d）条提交的过渡报告

的过渡期             到             

委员会档案号：001-13300

____________________________________

第一资本金融公司演讲

(注册人的确切姓名载于其章程) 

____________________________________

特拉华州									54-1719854
(注册成立或组织的国家或其他司法管辖区)									(国际税务局雇主身分证号码)
Capital One Drive 1680号
麦克莱恩，			维吉尼亚						22102
（主要行政办公室地址）									(邮政编码)

注册人的电话号码，包括区号：(703) 720-1000
(Not适用）
(前姓名、前地址和前财政年度，如果自上次报告以来发生变化)
____________________________________

根据该法第12(B)条登记的证券：

每个班级的标题			交易代码			注册的每个交易所的名称
普通股（每股面值0.01美元）			cof			纽约证券交易所
存托股份，每股代表固定利率非累积永久优先股股份的1/40权益，系列I			COF PRI			纽约证券交易所
存托股份，每股代表固定利率非累积永久优先股股份的1/40权益，系列J			COF PRJ			纽约证券交易所
存托股份，每股代表固定利率非累积永久优先股股份的1/40权益，系列K			COF			纽约证券交易所
存托股份，每股代表固定利率非累积永久优先股股份的1/40权益，系列L			COF SPL			纽约证券交易所
存托股份，每股代表固定利率非累积永久优先股股份的1/40权益，系列N			COF PRI			纽约证券交易所
1.650% 2029年到期的优先票据			COF29			纽约证券交易所

用复选标记表示注册人(1)是否在过去12个月内(或注册人被要求提交此类报告的较短时间内)提交了1934年《证券交易法》第13或15(D)节要求提交的所有报告，以及(2)在过去90天内是否符合此类提交要求。是 没有

用复选标记表示注册人是否在过去12个月内(或在注册人被要求提交此类文件的较短时间内)以电子方式提交了根据S-T规则第405条(本章232.405节)要求提交的每个交互数据文件。是 没有

用复选标记表示注册人是大型加速申报公司、加速申报公司、非加速申报公司、较小的报告公司或新兴成长型公司。请参阅《交易法》第12b-2条规则中“大型加速申报公司”、“加速申报公司”、“较小申报公司”和“新兴成长型公司”的定义。

大型加速文件服务器

☒

加速的文件管理器

☐

非加速文件服务器

☐

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如果是一家新兴的成长型公司，用复选标记表示注册人是否选择不使用延长的过渡期来遵守根据《交易法》第13(A)节提供的任何新的或修订的财务会计准则. ☐

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截至2024年9月30日，已有 381,510,336 注册人的流通普通股股份。

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目录

						页面
第一部分-财务信息						4
第1项。			财务报表			76
			合并损益表			77
			综合全面收益表			78
			合并资产负债表			79
			合并股东权益变动表			80
			合并现金流量表			82
			合并财务报表附注			84
			注1-重要会计政策摘要			84
			注2-业务合并			86
			注3-投资证券			87
			注4-贷款			90
			注5-信贷损失备抵和无准备金贷款承诺准备金			105
			注6-可变利益实体和证券化			110
			注7-善意和其他无形资产			114
			注8-存款和借款			115
			注9-衍生工具和对冲活动			116
			注10-股东权益			126
			注11-每股普通股收益			130
			注12-公允价值计量			131
			注13-业务部门和来自客户合同的收入			139
			注14-承诺、或有事项、担保和其他			143
第二项。			管理层对财务状况和经营业绩的讨论和分析（“MD & A”）			4
			引言			4
			选定的财务数据			6
			执行摘要			9
			综合经营成果			10
			合并资产负债表分析			18
			表外安排			21
			业务部门财务表现			22
			关键会计政策和估算			32
			会计变化和发展			33
			资本管理			34
			风险管理			39
			信用风险概况			41
			流动性风险概况			55
			市场风险概况			60
			监督和监管			63
			前瞻性陈述			64
			补充表			67
			词汇和缩写			69

			1			第一资本金融公司（COF）

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第三项。			关于市场风险的定量和定性披露			147
第四项。			控制和程序			147
第二部分--其他资料						148
第1项。			法律诉讼			148
第1A项。			风险因素			148
第二项。			未登记的股权证券销售和收益的使用			148
第三项。			高级证券违约			148
第四项。			煤矿安全信息披露			148
第5项。			其他信息			148
第6项。			陈列品			149
展品索引						150
签名						151

			2			第一资本金融公司（COF）

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MD & A索引和补充表

MD & A表：						页面
1			综合财务亮点			6
2			平均余额、净利息收入和净息差			11
3			净利息收入的利率/量分析			14
4			非利息收入			15
5			非利息支出			17
6			为投资而持有的贷款			19
7			资金来源构成			19
8			业务细分结果			23
9			信用卡业务业绩			24
9.1			国内卡业务业绩			26
10			消费者银行业务业绩			27
11			商业银行业务业绩			29
12			其他类别结果			31
13			巴塞尔协议III下的资本比率			36
14			基于监管风险的资本成分和监管资本指标			37
15			每股支付的优先股股息			38
16			持有投资性贷款的投资组合构成			41
17			按地理区域划分的信用卡投资组合			42
18			按地理区域划分的消费者银行投资组合			43
19			按地区划分的商业房地产投资组合			44
20			按行业分类的商业贷款			45
21			信用评分分布			46
22			超过30天的延误			47
23			30天以上拖欠贷款的老龄化和地理位置			48
24			90天以上逾期贷款应计利息			49
25			不良贷款和其他不良资产			50
26			净冲销			51
27			信贷损失备抵和无资金贷款承诺活动准备金			53
28			流动性储备			55
29			存款构成和平均存款利率			57
30			长期债务融资活动			58
31			高级无担保长期债务信用评级			59
32			利率敏感度分析			62
补充表:
A			非公认会计准则计量的对账			67

			3			第一资本金融公司（COF）

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目录

第一部分—财务信息

项目2.管理层对财务状况和经营业绩的讨论和分析（“MD & A”）

这一讨论包含基于管理层当前预期的前瞻性陈述，可能会受到重大不确定性和环境变化的影响。有关本季度报告(以下简称“本报告”)中有关前瞻性陈述的更多信息，请查阅“前瞻性陈述”。所有涉及我们预期或预期在未来发生的经营业绩、事件或发展的陈述均为前瞻性陈述。由于各种因素的影响，我们的实际结果可能与这些前瞻性陈述中包含的结果大不相同，这些因素包括但不限于“第一部分--第1A项”中描述的那些因素。2023年的风险因素 关于表格10-K(“2023年表格10-K”)和“第二部分--第1A项”的年度报告。风险因素“在这份报告中。除非另有说明，否则对我们合并财务报表的附注是指本报告中包含的截至2024年9月30日的综合财务报表附注。

管理层监控各种关键指标以评估我们的业务业绩和财务状况。以下MD & A是对我们的合并财务报表和本报告中的相关注释以及2023年表格10-k中包含的更详细信息的补充，并应与它们一起阅读。

引言

Capital One Financial Corporation是一家特拉华州公司，成立于1994年，总部位于弗吉尼亚州麦克莱恩，是一家多元化金融服务控股公司，拥有银行和非银行子公司。Capital One Financial Corporation及其子公司（“公司”或“Capital One”）通过数字渠道、分支机构、咖啡馆和其他分销渠道向消费者、小企业和商业客户提供广泛的金融产品和服务。

截至2024年9月30日，Capital One Financial Corporation的主要运营子公司是Capital One，National Association（“CONA”）。公司下文统称为“我们”、“我们”或“我们的”。CONA被称为“银行”。

我们的综合净收入总额主要来自向消费者和商业客户的贷款，扣除与我们的存款、长期债务和其他借款相关的融资成本。我们还赚取非利息收入，主要包括交换收入，扣除奖励费用、服务费和其他客户相关费用。我们的费用主要包括信用损失拨备、运营费用、营销费用和所得税。

我们的主要业务出于管理报告的目的被组织为三个主要业务部门，主要根据所提供的产品和服务或所服务的客户类型来定义：信用卡、个人银行和商业银行。被收购业务的运营已整合到我们现有的业务部门中，或作为其一部分进行管理。不属于业务部门的某些活动被包括在其他类别中，例如由我们的中央企业财务部门执行的对我们的公司投资组合和资产/负债头寸的管理，以及为达到综合有效税率而对我们的业务部门评估之外的任何剩余税费或收益。另一类别亦包括不直接支持业务分部营运或业务分部在评估业绩时不被视为在财务上负责的未分配企业开支，例如与收购Discover协议有关的若干重组费用及整合开支。

•信用卡： 包括我们的国内消费者和小额名片贷款以及英国（“英国”）的国际卡业务和加拿大

•个人银行业务： 包括我们针对消费者和小企业的存款收集和贷款活动以及全国汽车贷款。

•商业银行： 包括我们为商业房地产以及商业和工业客户提供的贷款、存款收集、资本市场和资金管理服务。我们的客户通常包括年收入在2000万美元至20亿美元之间的公司。

			4			第一资本金融公司（COF）

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目录

业务发展

作为我们增长战略的一部分，我们定期探索和评估收购金融产品和服务以及金融资产（包括信用卡和其他贷款组合）的机会，并建立战略合作伙伴关系。我们还探索收购科技公司和相关资产的机会，以改善我们的信息技术基础设施并实现我们的数字战略。我们可能会发行股权或债务来资助我们的收购。此外，我们还会定期考虑某些资产、分支机构、合作伙伴协议或业务线的潜在处置。

同意收购Discover

于2024年2月19日，本公司由Capital One、Discover Financial Services、特拉华州一家公司(“Discover”)与特拉华州一家公司及本公司的直接全资附属公司Vega Merge Sub，Inc.订立合并协议及计划(“合并协议”)，根据该协议，(A)合并子公司将与Discover合并并并入Discover，Discover为合并中尚存的实体(“合并”)；(B)紧接合并后，Discover作为尚存实体将与Capital One合并并并入Capital One，Capital One将作为第二步合并中的幸存实体(“第二步合并”)；及(C)紧随第二步合并后，Discover Bank(位于特拉华州注册的全资子公司)将与Cona合并并并入Cona，Cona将成为合并中的幸存实体(“Cona Bank合并”，并与合并和第二步合并统称为“交易”)。这项合并协议得到了Capital One和Discover各自董事会的一致批准。

在合并生效时，除发现或第一资本公司持有的某些股份外，在紧接合并生效时间之前已发行的每股发现公司普通股将转换为获得第一资本公司1.0192股普通股的权利。Discover普通股的持有者将获得现金，而不是零碎的股票。于第二步合并生效时，每股固定利率至浮动利率非累积永久优先股(C系列)和每股6.125%固定利率重置非累积永久优先股(D系列)，在紧接第二步合并生效时间之前均已发行，将被转换为获得新设立的第一资本系列优先股的权利，这些优先股的条款并不比适用的发现优先股系列优惠多少。交易的完成取决于常规成交条件的满足，包括收到所需的监管批准以及Capital One和Discover各自股东的批准。

沃尔玛计划协议终止

2024年5月21日，我们与沃尔玛的信用卡计划协议终止（“沃尔玛计划终止”）。根据终止条款，Capital One保留了现有信用卡投资组合约85亿美元贷款的所有权和服务。2024年第三季度，该公司开始转换符合条件的客户并将这些账户整合到Capital One品牌卡产品中，这可能会导致该投资组合转换为品牌产品时运营和业绩的不确定性增加。

消费者金融保护局最终规则

2024年3月5日，消费者金融保护局（“CFPB”）发布了修订Z法规的最终规则，如果该法规以目前发布的方式生效，将大幅降低大型信用卡发行商（包括银行）可以对消费者信用卡账户收取的逾期费用的安全港金额。由于正在进行的诉讼，最终规则目前被搁置。

最终规则如果按目前发布的方式生效，将对我们的收入产生重大影响，并可能产生重大市场影响，包括对竞争、定价、消费者行为、销量和信贷的影响。为了响应最终规则，我们制定了一些缓解行动，其中一些缓解行动已经实施。最终规则的结果可能会实施其他行动。

有关与此规则相关的风险的更多信息，请参阅“第一部分-第1A项”中列出的风险因素。我们2023年表格10-k中的风险因素”。

			5			第一资本金融公司（COF）

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目录

选定的财务数据

下表列出了我们在2024年和2023年第三季度和前九个月的经营业绩以及截至2024年9月30日和2023年12月31日的精选资产负债表数据中精选的综合财务数据和业绩。我们还提供在评估我们的业绩时使用的选定关键指标，包括使用非GAAP指标计算的某些指标。我们认为这些指标是管理层用来评估我们的经营业绩、资本充足率和产生的回报水平的关键财务指标。我们相信，这些非GAAP指标为投资者和我们财务信息的用户提供了有用的洞察力，因为它们为我们的业绩提供了另一种衡量标准，并有助于评估我们的资本充足率和产生的回报水平。这些非GAAP计量不应被视为根据美国公认会计原则(“美国GAAP”)确定的报告结果的替代品，也不一定与其他公司可能提出的非GAAP计量相比较。

表1：合并财务摘要

						截至9月30日的三个月，																		截至9月30日的9个月，
（单位：百万美元，每股数据除外）						2024						2023						变化						2024						2023																								变化
损益表
净利息收入						$	8,076					$	7,423					9%						$	23,110					$	21,722																							6%
非利息收入						1,938						1,943						—						5,812						5,559																								5
净收入合计						10,014						9,366						7						28,922						27,281																								6
信贷损失准备金						2,482						2,284						9						9,074						7,569																								20
非利息支出：
营销						1,113						972						15						3,187						2,755																								16
运营费用						4,201						3,888						8						12,210						11,844																								3
非利息支出总额						5,314						4,860						9						15,397						14,599																								5
所得税前持续经营所得						2,218						2,222						—						4,451						5,113																								(13)
所得税拨备						441						432						2						797						932																								(14)
净收入						1,777						1,790						(1)						3,654						4,181																								(13)
分配给参与证券的股息和未分配收益						(28)						(28)						—						(60)						(67)																								(10)
优先股股息						(57)						(57)						—						(171)						(171)																								—
普通股股东可获得的净收入						$	1,692					$	1,705					(1)						$	3,423					$	3,943																							(13)
普通股统计
普通股基本每股收益：
每股基本普通股净利润						$	4.42					$	4.46					(1)%						$	8.94					$	10.31																							(13)%
稀释后每股普通股收益：
每股摊薄普通股净收益						$	4.41					$	4.45					(1)%						$	8.92					$	10.28																							(13)%
加权平均已发行普通股(百万股)：
基本信息						383.0						382.5						—						382.8						382.7																								—
稀释						383.7						383.3						—						383.7						383.6																								—
已发行普通股（期末，单位：百万）						381.5						381.0						—						381.5						381.0																								—
每股普通股申报和支付的股息						$	0.60					$	0.60					—						$	1.80					$	1.80																							—
每股普通股有形的账面价值（期末）(1)						112.36						87.97						28%						112.36						87.97																								28%

			6			第一资本金融公司（COF）

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目录

						截至9月30日的三个月，																		截至9月30日的9个月，
（单位：百万美元，每股数据除外）						2024						2023						变化						2024						2023																								变化
资产负债表（平均余额）
投资贷款						$	318,255					$	312,759					2%						$	315,927					$	310,075																							2%
生息资产						454,484						443,532						2						451,078						439,321																								3
总资产						481,219						469,860						2						477,816						466,279																								2
计息存款						324,509						316,032						3						321,856						312,702																								3
总存款						351,125						345,013						2						348,765						342,956																								2
借贷						48,274						49,736						(3)						49,194						48,746																								1
普通股权益						56,443						50,166						13						54,293						50,202																								8
股东权益总额						61,289						55,012						11						59,139						55,048																								7
选定的绩效指标
采购量						$	166,203					$	158,640					5%						$	481,517					$	458,235																							5%
总净收入利润率(2)						8.81%						8.45%						36个基点						8.55%						8.28%																								27个基点
净息差						7.11						6.69						42						6.83						6.59																								24
平均资产回报率(3)						1.48						1.52						(4)						1.02						1.20																								(18)
平均有形资产回报率(4)						1.53						1.58						(5)						1.05						1.24																								(19)
平均普通股权益回报率(5)						11.99						13.59						(160)						8.41						10.47																								(206)
平均有形普通股权益回报率(6)						16.42						19.59						(317)						11.69						15.01																								(332)
股权与资产比率(7)						12.74						11.71						103						12.38						11.81																								57
效率比(8)						53.07						51.89						118						53.24						53.51																								(27)
运营效率比(9)						41.95						41.51						44						42.22						43.41																								(119)
调整后的运营效率比(10)						41.41						41.51						(10)						41.71						43.41																								(170)
持续经营的有效所得税率						19.9						19.4						50						17.9						18.2																								(30)
净冲销						$	2,604					$	1,999					30%						$	7,864					$	5,881																							34%
净冲销率						3.27		%				2.56		%				71个基点						3.32		%				2.53		%																						79个基点

    

(除特别注明外，以百万美元计)																								2024年9月30日						2023年12月31日																								变化
资产负债表（期末）
投资贷款																								$	320,243					$	320,472																							—
生息资产																								458,189						449,701																								2%
总资产																								486,433						478,464																								2
计息存款																								327,253						320,389																								2
总存款																								353,631						348,413																								1
借贷																								49,336						49,856																								(1)
普通股权益																								58,080						53,244																								9
股东权益总额																								62,925						58,089																								8
信用质量指标
信贷损失准备																								$	16,534					$	15,296																							8%
拨备覆盖率																								5.16		%				4.77		%																						39个基点
30天以上违约率																								3.58						3.71																								(13)
30天以上拖欠率																								3.89						3.99																								(10)

			7			第一资本金融公司（COF）

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目录

(除特别注明外，以百万美元计)																								2024年9月30日						2023年12月31日																								变化
资本比率
普通股一级资本(11)																								13.6		%				12.9		%																						70个基点
一级资本(11)																								14.9						14.2																								70
总资本(11)																								16.6						16.0																								60
第1级杠杆(11)																								11.6						11.2																								40
有形普通股权益(12)																								9.1						8.2																								90
补充杠杆(11)																								9.9						9.6																								30
其他
员工（期末，单位：千人）																								52.5						52.0																								1%

__________

(1)每股普通股有形账面价值是一种非GAAP衡量标准，根据有形普通股（“TCE”）除以已发行普通股计算。有关非GAAP指标的更多信息，请参阅“补充表-表A-非GAAP指标的对账”。

(2)总净收入利润率是根据本期年化总净收入除以本期平均生息资产计算的。

(3)平均资产回报率是根据本期持续经营的年化收入（扣除税后）除以本期平均总资产计算的。

(4)平均有形资产回报率是一种非GAAP衡量标准，根据本期持续经营的年化收入（扣除税后）除以本期平均有形资产计算。有关非GAAP指标的更多信息，请参阅“补充表-表A-非GAAP指标的对账”。

(5)平均普通股回报率的计算依据是普通股股东可获得的年化净收入（损失）减去本期已终止业务的年化收入（损失）（扣除税后），再除以平均普通股。我们对平均普通股回报率的计算可能无法与其他公司报告的类似标题的指标相比。

(6)平均有形普通股回报率是一种非GAAP衡量标准，计算方法是普通股股东可获得的年化净利润（损失）减去本期已终止业务的年化收入（损失）（扣除税后），再除以平均TCE。我们对平均TCE回报率的计算可能无法与其他公司报告的类似标题的指标进行比较。有关非GAAP指标的更多信息，请参阅“补充表-表A-非GAAP指标的对账”。

(7)权益与资产比率是根据本期平均股东权益除以本期平均总资产计算的。

(8)效率比是根据本期非利息费用总额除以本期净收入总额计算的。

(9)运营效率率按本期运营费用除以本期净收入总额计算。

(10)调整后的运营效率比是非GAAP衡量标准。请参阅“补充表-表A-非GAAP指标的对账”，了解我们调整后的运营效率比（非GAAP）与运营效率比（GAAP）的对账。

(11)资本比率根据巴塞尔协议III标准化方法框架计算。有关更多信息，请参阅“资本管理”。

(12)有形普通股权益比率是一种非GAAP衡量标准，根据TCE除以有形资产计算。有关该指标的计算以及与美国GAAP比较指标的对账，请参阅“补充表-表A-非GAAP指标的对账”。

			8			第一资本金融公司（COF）

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目录

执行摘要

财务摘要

我们报告称，2024年第三季度和前9个月，总净收入为100亿美元，净利润为18亿美元（每股稀释普通股4.41美元），总净收入为289亿美元，净利润为37亿美元（每股稀释普通股8.92美元）。相比之下，我们报告的净利润为18亿美元（每股稀释普通股4.45美元），总净收入为94亿美元，净利润为42亿美元（每股稀释普通股10.28美元），2023年前9个月的总净收入为273亿美元。

根据《巴塞尔协议III》标准化方法计算，我们的普通股一级（“CET 1”）资本比率为13.6%， 截至12.9% 分别为2024年9月30日和2023年12月31日。有关更多信息，请参阅“资本管理”。

2024年第三季度，我们宣布并支付了2.33亿美元的普通股股息，并回购了1.5亿美元的普通股。2024年前9个月，我们宣布并支付了7.05亿美元的普通股股息 并回购了价值4.03亿美元的我们普通股。有关更多信息，请参阅“资本管理-股息政策和股票购买”。

以下是我们2024年第三季度和前9个月业绩的其他亮点。除非另有说明，这些亮点是基于2024年和2023年第三季度与前九个月业绩的比较。我们的财务状况和信用表现的变化通常基于我们截至2024年9月30日与2023年12月31日的财务状况和信用表现。我们在本“执行摘要”后面的章节中对我们的财务业绩进行了更详细的讨论。

公司总体绩效

•收益：

与2023年第三季度相比，2024年第三季度我们的净利润减少了1300万美元至18亿美元，主要原因是：

◦2024年第三季度信用损失拨备增加主要是由于净冲销增加，包括因沃尔玛计划终止而取消损失分担拨备的影响，但与净拨备增加相比，拨备释放部分抵消了这一影响。2023年第三季度。

◦非利息费用增加主要是由于信用卡业务的增长和营销支出的增加。

这些驱动因素被部分抵消：

◦净利息收入增加主要是由于我们信用卡贷款组合中平均贷款余额和利润率增加，包括因沃尔玛计划终止而取消收入分成条款的影响。

与2023年前9个月相比，2024年前9个月我们的净利润减少了5.27亿美元，至37亿美元，主要原因是：

◦2024年前9个月信用损失拨备增加，主要是由于国内卡净冲销增加，但部分被净备抵额减少所抵消。

◦非利息费用增加主要是由于信用卡业务的增长和营销支出的增加。

这些驱动因素被部分抵消：

◦净利息收入增加主要是由于我们信用卡贷款组合中平均贷款余额和利润率增加，包括沃尔玛计划终止导致取消收入分成拨备的影响，部分被生息存款支付的较高利率所抵消。

•持有投资贷款：

			9			第一资本金融公司（COF）

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目录

◦截至2024年9月30日，用于投资的期末贷款从2023年12月31日减少了2.29亿美元，至3，202亿美元，主要是由于客户付款超过我们商业贷款组合的发放，部分被我们信用卡和汽车贷款组合的增长所抵消。

◦与2023年第三季度相比，2024年第三季度投资平均贷款增加了55亿美元，达到3183亿美元，与2023年前9个月相比，2024年前9个月增加了59亿美元，达到3159亿美元，主要是由于我们信用卡贷款组合的增长，部分被客户付款超过我们商业贷款组合中的贷款发放所抵消。

•净冲销和违约金额：

◦我们的净冲销率与2023年第三季度相比，2024年第三季度增加了71个基点（“基点”）至3.27%，与2023年前9个月相比，2024年前9个月增加了79个基点，至3.32%，这主要是由于我们信用卡贷款组合中净冲销率上升。

◦截至2024年9月30日，我们的30天以上拖欠率从2023年12月31日下降了10个基点至3.89%，主要是由于我们汽车贷款组合的拖欠库存减少。

•信贷损失准备： 截至2024年9月30日，我们的信用损失拨备增加了12亿美元至165亿美元，与2023年12月31日相比，我们的拨备覆盖率增加了39个基点至5.16%，主要是由于沃尔玛计划于2024年第二季度终止而增加的拨备。

综合经营成果

下节比较讨论了我们2024年和2023年第三季度以及前九个月的综合财务表现。我们在以下部分“业务分部财务表现”中讨论了业务分部业绩。本节应与我们的“执行摘要”一起阅读，其中我们讨论了我们预计将影响我们未来运营结果的趋势和其他因素。

净利息收入

净利息收入是指从我们的生息资产赚取的利息收入(包括某些费用)与我们的计息负债产生的利息支出之间的差额。我们的生息资产包括贷款、投资证券和其他生息资产，而我们的计息负债包括有息存款、证券化债务债券、优先和次级票据、其他借款和其他计息负债。一般来说，我们在利息收入中计入任何逾期的费用，扣除冲销后，我们认为可以收回的贷款。我们的净息差以我们的综合业绩为基础，代表我们的有息资产的收益率与有息负债的成本之间的差额，包括无息资金的名义影响。我们预计净利息收入和净息差将根据利率的变化以及我们的计息资产和计息负债的数量和组成的变化而波动。

			10			第一资本金融公司（COF）

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目录

下表2列出了2024年和2023年第三季度和前9个月我们每个主要类别的生息资产和生息负债的平均未偿余额、赚取的利息收入、发生的利息支出和平均收益率。不良贷款包括在下面的平均贷款余额中。

表2：平均余额、净利息收入和净利差

						截至9月30日的三个月，
						2024																		2023
(百万美元)						平均 平衡						利息收入/ 费用						平均产量/ 率(1)						平均 平衡						利息收入/ 费用						平均产量/ 率(1)
资产：
生息资产：
贷款：(2)
信用卡						$	154,160					$	7,578					19.66		%				$	144,053					$	6,850					19.02		%
消费者银行						76,182						1,692						8.88						77,154						1,537						7.97
商业银行业务(3)						88,373						1,601						7.24						92,254						1,642						7.12
其他(4)						—						(324)						**						—						(333)						**
贷款总额，包括待售贷款						318,715						10,547						13.24						313,461						9,696						12.37
投资证券						90,644						733						3.24						87,845						627						2.86
现金等值物和其他生息资产						45,125						580						5.14						42,226						550						5.21
生息资产总额						454,484						11,860						10.44						443,532						10,873						9.81
现金和银行到期款项						3,815																		3,580
信贷损失准备						(16,654)																		(14,649)
房舍和设备，净额						4,414																		4,380
其他资产						35,160																		33,017
总资产						$	481,219																	$	469,860
负债和股东权益：
计息负债：
计息存款						$	324,509					$	2,945					3.63		%				$	316,032					$	2,611					3.30		%
证券化债务义务						15,833						234						5.93						17,649						249						5.63
高级票据和次级票据						32,041						596						7.43						31,522						579						7.36
其他借款和生息负债(5)						2,389						9						1.50						2,473						11						1.79
计息负债总额						374,772						3,784						4.04						367,676						3,450						3.75
无息存款						26,616																		28,981
其他负债						18,542																		18,191
总负债						419,930																		414,848
股东权益						61,289																		55,012
总负债和股东权益						$	481,219																	$	469,860
净利息收入/利差												$	8,076					6.40												$	7,423					6.05
无息融资的影响																		0.71																		0.64
净息差(6)																		7.11		%																6.69%

			11			第一资本金融公司（COF）

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目录

						截至9月30日的9个月，
						2024																		2023
(百万美元)						平均 平衡						利息收入/ 费用						平均产量/ 率(1)						平均 平衡						利息收入/ 费用						平均产量/ 率(1)
资产：
生息资产：
贷款：(2)
信用卡						$	151,700					$	21,733					19.10		%				$	139,196					$	19,205					18.40		%
消费者银行						75,555						4,867						8.59						77,944						4,484						7.67
商业银行业务(3)						89,452						4,829						7.20						93,517						4,710						6.72
其他(4)						—						(969)						**						—						(923)						**
贷款总额，包括待售贷款						316,707						30,460						12.82						310,657						27,476						11.79
投资证券						89,580						2,120						3.16						89,259						1,881						2.81
现金等值物和其他生息资产						44,791						1,737						5.17						39,405						1,436						4.86
生息资产总额						451,078						34,317						10.14						439,321						30,793						9.35
现金和银行到期款项						3,775																		3,876
信贷损失准备						(15,783)																		(14,064)
房舍和设备，净额						4,396																		4,366
其他资产						34,350																		32,780
总资产						$	477,816																	$	466,279
负债和股东权益：
计息负债：
计息存款						$	321,856					$	8,631					3.58		%				$	312,702					$	6,744					2.88%
证券化债务义务						17,036						753						5.90						17,558						696						5.28
高级票据和次级票据						31,744						1,793						7.53						30,611						1,596						6.95
其他借款和生息负债(5)						2,422						30						1.67						2,410						35						1.94
计息负债总额						373,058						11,207						4.01						363,281						9,071						3.33
无息存款						26,909																		30,254
其他负债						18,710																		17,696
总负债						418,677																		411,231
股东权益						59,139																		55,048
总负债和股东权益						$	477,816																	$	466,279
净利息收入/利差												$	23,110					6.14												$	21,722					6.02
无息融资的影响																		0.69																		0.57
净息差(6)																		6.83		%																6.59%

__________

(1)平均收益率是根据本期年化利息收入除以本期平均贷款计算的。年化利息收入不包括任何分配，例如资金转移定价。平均收益率是使用平均余额和利息收入/费用的整美元价值计算的。

(2)扣除转回后，利息收入中包括的逾期费用在2024年第三季度和前9个月分别总计约为62600万美元和17亿美元，在2023年第三季度和前9个月分别为5.93亿美元和16亿美元, 分别进行了分析。

(3)我们的一些商业投资产生免税收入、税收抵免或其他税收优惠。因此，我们以应税等值的方式呈现我们的商业银行收入和收益率，使用21%的联邦法定税率和适用的州税计算，并对其他类别进行抵消。我们商业贷款的利息收入和收益率计算中包含的应税等值调整在2024年第三季度和前9个月分别总计约为2000万美元和5900万美元，在2023年第三季度和前9个月分别为1800万美元和5500万美元，其他类别也相应减少。

(4)其他类别中的利息收入/费用代表对冲会计对我们的贷款组合的影响，以及如上所述我们商业贷款的应税等值调整的抵消减少。

			12			第一资本金融公司（COF）

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目录

(5)包括与2024年第三季度和前9个月向低收入和农村社区提供资本的实体相关金额分别为20亿美元和200亿美元，以及2023年第三季度和前9个月分别为19亿美元和18亿美元。2024年第三季度和前9个月的相关利息费用分别为700万美元和2300万美元，2023年第三季度和前9个月的相关利息费用分别为800万美元和2400万美元。

(6) 沃尔玛计划终止使2024年第三季度和前9个月的净息差增加了22个基点和11个基点。

** 没有意义。

与2023年第三季度相比，2024年第三季度净利息收入增加了6.53亿美元，达到81亿美元，主要是由于我们信用卡贷款组合中平均贷款余额和利润率上升，包括因沃尔玛计划终止而取消收入分成条款的影响。与2023年前9个月相比，2024年前9个月的净利息收入增加了14亿美元，达到231亿美元，主要是由于我们信用卡贷款组合中平均贷款余额和利润率增加，包括因沃尔玛计划终止而取消收入分成拨备的影响，部分被生息存款支付的利率提高所抵消。

2024年第三季度净息差较2023年第三季度增加42个基点至7.11%，2024年前9个月比2023年前9个月增加24个基点至6.83%，主要受资产收益率上升和信用卡贷款组合增长的推动，部分被生息存款支付的较高利率所抵消。

截至2024年6月30日，我们的公司累计生息存款Beta值为62%，此前美联储在2024年第三季度降低了目标联邦基金利率，这标志着新利率周期的开始。

			13			第一资本金融公司（COF）

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目录

表3显示了不同时期净利息收入的变化以及差异归因于以下因素的程度：

•我们的生息资产和生息负债数量的变化;或

•与这些资产和负债相关的利率变化。

表3：净利息收入的利率/量分析(1)

						截至9月30日的三个月，																		截至9月30日的9个月，
						2024年与2023年																		2024年与2023年
(百万美元)						总方差						卷						率						总方差						卷						率
利息收入：
贷款：
信用卡						$	728					$	491					$	237					$	2,528					$	1,770					$	758
消费者银行						155						(19)						174						383						(137)						520
商业银行业务(2)						(41)						(69)						28						119						(205)						324
其他(3)						9						—						9						(46)						—						(46)
贷款总额，包括待售贷款						851						403						448						2,984						1,428						1,556
投资证券						106						20						86						239						7						232
现金等值物和其他生息资产						30						37						(7)						301						204						97
利息收入总额						987						460						527						3,524						1,639						1,885
利息支出：
计息存款						334						71						263						1,887						202						1,685
证券化债务义务						(15)						(26)						11						57						(21)						78
高级票据和次级票据						17						10						7						197						61						136
其他借款和负债						(2)						—						(2)						(5)						—						(5)
总利息支出						334						55						279						2,136						242						1,894
净利息收入						$	653					$	405					$	248					$	1,388					$	1,397					$	(9)

__________

(1)我们分别计算每个项目的利息收入和利息费用的变化。当计算结果为正值时，归因于量和利率的利息收入或利息支出部分按比例分配。当利息收入或利息支出中归因于交易量和利率的部分均为负值时，总额将分配给交易量或利率，具体取决于哪个金额为正值。

(2)我们的一些商业投资产生免税收入、税收抵免或其他税收优惠。因此，我们以应税等值的方式呈现我们的商业银行收入和收益率，使用21%的联邦法定税率和适用的州税计算，并对其他类别进行抵消。

(3)其他类别中的利息收入/费用代表对冲会计对我们的贷款组合的影响，以及如上所述我们商业贷款的应税等值调整的抵消减少。

			14			第一资本金融公司（COF）

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非利息收入

表4显示了2024年和2023年第三季度和前9个月非利息收入的组成部分。

表4：非利息收入

						截至9月30日的三个月，												截至9月30日的9个月，
(百万美元)						2024						2023						2024						2023
交换费，净						$	1,228					$	1,234					$	3,622					$	3,586
服务费和其他客户相关费用						501						453						1,422						1,243
证券收益（损失）净额						(35)						—						(35)						—
其他(1)(2)						244						256						803						730
非利息收入总额						$	1,938					$	1,943					$	5,812					$	5,559

________

(1)主要包括Capital One Shopping的收入、国库和其他投资收入、我们的信用卡合作协议和商业抵押贷款银行收入。

(2)包括2024年第三季度和前9个月递延薪酬计划投资的收益分别为3600万美元和8900万美元，以及2023年第三季度和前9个月递延薪酬计划投资的损失分别为1300万美元和收益3600万美元。这些金额在非利息费用中有相应的抵消。

与2023年第三季度相比，2024年第三季度的非利息收入基本持平，为19亿美元。与2023年前9个月相比，2024年前9个月的非利息收入增加了2.53亿美元，达到58亿美元，主要是由于信用卡业务的增长和商业银行业务资本市场活动的增加。

			15			第一资本金融公司（COF）

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目录

信贷损失准备

我们每个时期的信用损失拨备是由净冲销、信用损失拨备变化和无资金贷款承诺准备金变化推动的。2024年第三季度，我们的信用损失拨备增加了1.98亿美元，达到25亿美元，主要是由于净冲销增加，包括因沃尔玛计划终止而取消损失分担拨备的影响，部分被拨备释放所抵消，而与2023年第三季度的拨备相比，拨备释放。2024年前9个月，我们的信用损失拨备增加了15亿美元至91亿美元，主要是由于国内卡净冲销增加，但部分被净备抵额减少所抵消。

我们在“信用风险概况”和“第一部分-第1项”中提供有关信用损失拨备和信用损失拨备变化的额外信息。财务报表-注释5-信贷损失备抵和无资金贷款承诺准备金。”有关我们每个贷款类别的津贴方法的信息，请参阅“第II部分-第8项。财务报表-注1-重要会计政策摘要”，请参阅我们2023年表格10-k。

			16			第一资本金融公司（COF）

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非利息支出

表5显示了2024年和2023年第三季度和前9个月的非利息费用组成。

表5：无息发票

						截至9月30日的三个月，												截至9月30日的9个月，
(百万美元)						2024						2023						2024						2023
操作时间表：
工资和相关福利(1)						$	2,391					$	2,274					$	7,069					$	7,018
职业和设备						587						518						1,692						1,532
专业服务						402						295						980						909
通信和数据处理						358						344						1,064						1,038
无形资产摊销						20						24						58						60
其他非利息费用：
银行卡、监管和其他费用评估						59						62						257						197
收藏						89						89						259						261
中国和其他国家						295						282						831						829
其他非利息费用总额						443						433						1,347						1,287
总运营费用						$	4,201					$	3,888					$	12,210					$	11,844
营销						1,113						972						3,187						2,755
非利息支出总额						$	5,314					$	4,860					$	15,397					$	14,599

_________

(1)包括以下费用 与我们的延期补偿计划相关的3600万美元和8900万美元 的投资 2024年第三季度及前9个月，分别和受益者 1300万美元，费用3600万美元 分别与我们2023年第三季度和前9个月的递延薪酬计划投资有关。这些金额从其他非利息收入的投资中得到了相应的抵消。

与2023年第三季度相比，2024年第三季度非利息费用增加了4.54亿美元，达到53亿美元，与2023年前9个月相比，2024年前9个月增加了7.98亿美元，达到154亿美元，主要是由于信用卡业务的增长和营销支出的增加。

截至2024年9月30日的三个月和九个月，我们发生了与收购Discover协议相关的6300万美元和9400万美元整合费用，这些费用计入我们合并利润表的运营发票中。

			17			第一资本金融公司（COF）

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目录

所得税

我们记录了4.41亿美元的所得税拨备（19.9%有效所得税率）和7.97亿美元2024年第三季度和前9个月（17.9%有效所得税率），相比之下，所得税拨备为4.32亿美元2023年第三季度和前9个月分别为9.32亿美元（有效所得税率19.4%）和9.32亿美元（有效所得税率18.2%）。我们对持续经营业务收入的有效税率在不同时期有所不同，部分原因是税前收入变化以及相对于税前收入的税收抵免、免税收入和不可扣除费用变化的影响。

我们在“第二部分-第8项”中提供了有关影响所得税和有效税率的项目的更多信息。财务报表和补充数据-注释15-所得税”，请参阅我们2023年表格10-k。

综合资产负债表分析

截至2024年9月30日，总资产从2023年12月31日增加了80亿美元至4，864亿美元，主要是由于我们可供出售的现金和证券余额增加，部分被沃尔玛计划终止而增加的备抵所抵消。2024年第二季度。

截至2024年9月30日，总负债比2023年12月31日增加了31亿美元，达到4235亿美元，主要是由于我们的国家消费银行战略导致的存款增长，部分被我们证券化债务债务的净到期日所抵消。我们的国家消费者银行战略包括我们的国家品牌和营销战略、咖啡馆和技术/数字投资，这使我们能够深化和扩大我们的整体客户群。

截至2024年9月30日，股东权益从2023年12月31日增加了48亿美元至629亿美元，主要受净利润37亿美元的推动。

以下是2024年前9个月我们资产和负债主要组成部分的重大变化的讨论。由于旨在支持我们的资本和流动性状况、我们的市场风险状况以及客户需求的正常资产负债表管理活动的时间，期末资产负债表金额可能与平均资产负债表金额有所不同。

投资证券

我们的投资证券组合包括以下内容：美国政府赞助的企业或机构（“GSE”或“机构”）和非机构住宅抵押贷款支持证券（“RMBS”）、机构商业抵押贷款支持证券（“CMBS”）、美国国债和其他证券。代理证券包括政府国民抵押贷款协会（“Ginnie Mae”）担保证券、联邦国民抵押贷款协会（“Fannie Mae”）和联邦住房贷款抵押公司（“Freddie Mac”）发行的证券。截至2024年9月30日和2023年12月31日，我们对机构和美国国债的投资的公允价值分别占我们投资证券组合总额的96%和97%。

截至2024年9月30日，我们的可供出售证券投资组合的公允价值从2023年12月31日增加了44亿美元至835亿美元，主要是受净购买和相关基准利率下降的推动。请参阅“第一部分-第1项。财务报表-注3-投资证券”了解更多信息。

			18			第一资本金融公司（COF）

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目录

为投资而持有的贷款

为投资而持有的贷款总额包括非证券化贷款和合并信托中持有的贷款。表6按投资组合分部总结了截至2024年9月30日和2023年12月31日我们持作投资的贷款的公允价值、信用损失拨备和净贷款余额。

表6：投资贷款

						2024年9月30日																		2023年12月31日
(百万美元)						贷款						津贴						净贷款						贷款						津贴						净贷款
信用卡						$	156,651					$	(12,989)					$	143,662					$	154,547					$	(11,709)					$	142,838
个人银行业务						76,758						(2,015)						74,743						75,437						(2,042)						73,395
商业银行业务						86,834						(1,530)						85,304						90,488						(1,545)						88,943
总						$	320,243					$	(16,534)					$	303,709					$	320,472					$	(15,296)					$	305,176

截至2024年9月30日，与2023年12月31日相比，持投资贷款减少了2.29亿美元，至3，202亿美元，主要是由于客户付款超过我们商业贷款组合的发放速度，部分被我们信用卡和汽车贷款组合的增长所抵消。

我们在“信用风险概况”、“合并经营业绩”和“第一部分-第1项”中提供了有关我们贷款组合组成和信用质量的更多信息。财务报表-注4-贷款。”

资金来源

我们的主要资金来源来自有保险的零售存款，因为它们是相对稳定且成本较低的资金来源。除了存款外，我们还通过发行优先和次级票据、证券化债务债券、购买的联邦基金、根据回购协议借出或出售的证券以及由我们贷款和证券投资组合的某些部分担保的联邦住房贷款银行（“FHLB”）预付款筹集资金。

表7提供了截至2024年9月30日和2023年12月31日我们主要资金来源的构成。

表7：资金来源构成

						2024年9月30日												2023年12月31日
(百万美元)						量						占总数的%						量						占总数的%
存款：
个人银行业务						$	309,569					77		%				$	296,171					74		%
商业银行业务						30,598						8						32,712						8
其他(1)						13,464						3						19,530						5
总存款						353,631						88						348,413						87
证券化债务义务						15,881						4						18,043						5
其他债务						33,455						8						31,813						8
总资金来源						$	402,967					100		%				$	398,269					100		%

__________

(1)包括截至2024年9月30日和2023年12月31日的经纪存款分别为124亿美元和185亿美元。

截至2024年9月30日，存款总额从2023年12月31日增加了52亿美元，达到3536亿美元，主要是受我们的国家消费银行战略的推动，但部分被经纪存款的到期日所抵消。

截至2024年9月30日和2023年12月31日，我们分别持有621亿美元和642亿美元的估计未保险存款。这些金额主要包括 支票和储蓄存款其.截至2024年9月30日和2023年12月31日，这些估计未保险存款约占我们总存款的18%。 我们根据向联邦银行机构提交的“状况和收入综合报告”（联邦金融机构审查委员会（“FFIEC”）031）中使用的方法和假设来估计我们的未保险金额，并调整为 不包括我们综合资产负债表存款中未呈列的某些项目，包括公司间余额和某些衍生品合同收到的现金抵押品.

			19			第一资本金融公司（COF）

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目录

截至2024年9月30日，证券化债务债务从2023年12月31日减少了22亿美元至159亿美元，主要是由于我们证券化计划的净到期日和偿还。

截至2024年9月30日，其他债务从2023年12月31日增加16亿美元至335亿美元，主要原因是 无担保优先债务的净发行。

我们在“流动性风险概况”和“第一部分-第1项”中提供了有关我们资金来源的更多信息。财务报表-注释8-存款和借款。”

			20			第一资本金融公司（COF）

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目录

表外安排

在正常业务过程中，我们从事某些未反映在合并资产负债表中的活动，通常称为表外安排。这些活动通常涉及与未合并可变利息实体（“VIE”）的交易以及其他安排，例如信用证、贷款承诺和担保，以满足客户的融资需求并支持他们的持续运营。我们在“第一部分-第1项”中提供了有关这些类型活动的更多信息。财务报表-注6-可变利益实体和证券化”和“第一部分-第1项。财务报表-注14-承诺、或有事项、担保和其他。”

			21			第一资本金融公司（COF）

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目录

业务部分财务表现

我们的主要业务出于管理报告的目的被组织为三个主要业务部门，主要根据所提供的产品和服务或所服务的客户类型来定义：信用卡、个人银行和商业银行。被收购业务的运营已整合到我们现有的业务部门中，或作为其一部分进行管理。不属于业务部门的某些活动被包括在其他类别中，例如由我们的中央企业财务部门执行的对我们的公司投资组合和资产/负债头寸的管理，以及为达到综合有效税率而对我们的业务部门评估之外的任何剩余税费或收益。另一类别亦包括不直接支持业务分部营运或业务分部在评估业绩时不被视为在财务上负责的未分配企业开支，例如与收购Discover协议有关的若干重组费用及整合开支。

我们在持续运营的基础上报告的个别业务的结果，反映了管理层评估业绩和做出有关为我们的运营提供资金和分配资源的决策的方式。我们可能会根据对管理报告方法的修改和组织一致性的变化，定期更改我们的业务部门或对业务部门结果进行重新分类。我们的业务部门业绩旨在反映每个部门，就好像它是一项独立的业务一样。我们使用内部管理和报告流程来得出我们的业务部门结果。我们的内部管理和报告流程采用各种分配方法，包括资金转移定价，以分配某些资产负债表资产、存款和其他负债及其直接或间接应归属于每个业务部门的相关收入和费用。利息收入和非利息收入总额直接归因于它们所报告的分部。每一部门的净利息收入反映了我们的资金转移定价过程的结果，该过程主要基于考虑市场利率的匹配资金概念。我们的资金转移定价过程由我们的中央企业财务组管理，并为资金来源提供资金信用，例如我们的个人银行和商业银行业务产生的存款，以及每个部门使用资金的费用。分配对每个业务部门和收购的业务是唯一的，并基于资产和负债的构成。资金转移定价过程考虑了资产负债和表外产品的利率和流动性风险特征。定期调整资金转移定价过程中使用的方法和假设，以反映经济状况和其他因素，这些因素可能会影响净利息收入分配给业务部门。我们定期评估用于分部报告的假设、方法和报告分类，这可能导致在未来期间实施改进或变化。我们在2023 Form 10-k的“Part II-Item”8.“财务报表和补充数据--附注17--业务部门和与客户签订的合同收入”中提供了用于得出我们的业务部门结果的分配方法的更多信息。

我们将源自内部管理会计和报告流程的业务分部业绩称为我们的“托管”演示，在某些情况下与我们根据美国公认会计原则编制的报告业绩不同。没有相当于美国公认会计原则的全面权威管理会计指导体系;因此，我们业务部门业绩的管理呈现可能无法与其他金融服务公司提供的类似信息进行比较。此外，我们的个别业务部门业绩不应用作根据美国公认会计原则确定的可比业绩的替代品。

我们总结了2024年和2023年第三季度和前9个月的业务部门业绩，并对这些结果进行了比较讨论，以及截至2024年9月30日财务状况和信用绩效指标与2023年12月31日相比的变化。我们在“第一部分-第1项”中提供了我们的总业务分部业绩与我们报告的合并业绩的对账。财务报表-注13-业务部门和客户合同收入。”

			22			第一资本金融公司（COF）

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目录

业务部门财务表现

表8总结了我们的业务部门业绩，我们根据2024年和2023年第三季度以及前9个月的净收入（亏损）和持续经营净利润（亏损）进行报告。

表格8：业务部门业绩

						截至9月30日的三个月，
						2024																								2023
						总净 收入（损失）(1)												净收入 (亏损)(2)												总净 收入（损失）(1)												净收入 (亏损)(2)
(百万美元)						量						% 总						量						% 总						量						% 总						量						% 总
信用卡						$	7,252					72%						$	1,374					77%						$	6,627					71%						$	1,266					71%
个人银行业务						2,210						22						403						23						2,275						24						611						34
商业银行业务(3)						888						9						263						15						909						10						214						12
其他(3)						(336)						(3)						(263)						(15)						(445)						(5)						(301)						(17)
总						$	10,014					100%						$	1,777					100%						$	9,366					100%						$	1,790					100%

						截至9月30日的9个月，
						2024																								2023
						总净 收入（损失）(1)												净收入 (亏损)(2)												总净 收入（损失）(1)												净收入 (亏损)(2)
(百万美元)						量						% 总						量						% 总						量						% 总						量						% 总
信用卡						$	20,800					72%						$	2,426					66%						$	18,873					69%						$	2,672					64%
个人银行业务						6,577						23						1,255						34						7,188						26						2,036						49
商业银行业务(3)						2,648						9						821						22						2,658						10						468						11
其他(3)						(1,103)						(4)						(848)						(22)						(1,438)						(5)						(995)						(24)
总						$	28,922					100%						$	3,654					100%						$	27,281					100%						$	4,181					100%

__________

(1)净收入（损失）总额包括净利息收入和非利息收入。

(2)我们业务部门和其他类别的净收入（亏损）基于持续经营业务的收入（亏损）（扣除税后）。

(3)我们的一些商业投资产生免税收入、税收抵免或其他税收优惠。因此，我们以应税等值的方式呈现我们的商业银行收入和收益率，使用21%的联邦法定税率和适用的州税计算，并对其他类别进行抵消。

			23			第一资本金融公司（COF）

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目录

信用卡业务

我们信用卡业务的主要收入来源是净利息收入、净互换收入和向客户收取的费用。费用主要包括信用损失拨备、运营成本和营销费用。

我们的信用卡业务在2024年第三季度和前9个月的持续运营净利润分别为14亿美元和24亿美元，在2023年第三季度和前9个月分别为13亿美元和27亿美元。

表9总结了我们信用卡业务的财务业绩，并显示了所示期间的选定关键指标。

表9：信用卡业务业绩

						截至9月30日的三个月，																		截至9月30日的9个月，
(除特别注明外，以百万美元计)						2024						2023						变化						2024						2023												变化
精选利润表数据：
净利息收入						$	5,743					$	5,114					12%						$	16,309					$	14,498											12%
非利息收入						1,509						1,513						—						4,491						4,375												3
净收入合计(1)						7,252						6,627						9						20,800						18,873												10
信贷损失准备金						2,084						1,953						7						7,888						6,298												25
非利息支出						3,367						3,015						12						9,730						9,073												7
所得税前持续经营所得						1,801						1,659						9						3,182						3,502												(9)
所得税拨备						427						393						9						756						830												(9)
持续经营收入，扣除税款						$	1,374					$	1,266					9						$	2,426					$	2,672											(9)
选定的绩效指标：
平均投资贷款						$	153,972					$	144,049					7						$	151,371					$	139,195											9
平均贷款收益率(2)						19.66		%				19.02		%				64个基点						19.10		%				18.40		%										70个基点
总净收入利润率(3)						18.82						18.40						42						18.28						18.08												20
净冲销						$	2,154					$	1,592					35%						$	6,619					$	4,489											47%
净冲销率						5.60		%				4.42		%				118个基点						5.83		%				4.30		%										153个基点
采购量						$	166,203					$	158,640					5%						$	481,517					$	458,235											5%
(除特别注明外，以百万美元计)						2024年9月30日						2023年12月31日						变化
选定的期末数据：
投资贷款						$	156,651					$	154,547					1%
30天以上违约率						4.53		%				4.61		%				（8）位点
30天以上拖欠率						4.54						4.62						(8)
不良贷款率(4)						0.01						0.01						—
信贷损失准备						$	12,989					$	11,709					11%
拨备覆盖率						8.29%						7.58		%				71个基点

__________

(1)我们根据信贷安排的合同条款确认无固定期限贷款的融资费用和手续费收入，并注销任何无法收回的金额。2024年第三季度和前九个月的总净收入分别减少了6.24亿美元和19亿美元，而2023年第三季度和前九个月的财务费用和作为无法收回的费用注销的费用分别为44900美元万和13美元亿。

(2)平均收益率是根据该期间的年化利息收入除以该期间的平均贷款计算的，不包括任何分配，如资金转移定价。

(3)总净收入差额是根据该期间的年化净收入总额除以该期间的平均贷款计算得出的。

(4)在我们的信用卡贷款组合中，只有我们国际卡业务中的某些贷款被归类为不良贷款。有关更多信息，请参阅“不良贷款和其他不良资产”。

			24			第一资本金融公司（COF）

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目录

2024年第三季度和前九个月与2023年第三季度和前九个月相比，影响我们信用卡业务业绩的主要因素包括：2024年9月30日至2023年12月31日期间财务状况和信贷表现的变化：

•净利息收入：2024年第三季度净利息收入增加62900美元万至57亿，2024年前9个月增加18亿至163亿，主要是由于平均贷款余额和利润率上升，包括沃尔玛计划终止导致取消收入分享拨备的影响。

•非利息收入：与2023年第三季度相比，2024年第三季度的非利息收入基本持平，为15美元亿。由于信用卡业务的增长，2024年前9个月的非利息收入增加了11600美元万，达到45亿。

•计提信贷损失准备：2024年第三季度信贷损失拨备增加了13100美元万，达到21亿美元，原因是净冲销增加，包括沃尔玛计划终止导致损失分担拨备取消的影响，但与2023年第三季度的拨备相比，拨备的发放部分抵消了这一影响。2024年前9个月，信贷损失准备金增加了16亿美元，达到79亿美元，主要是由于净冲销增加，部分被较低的拨备建立所抵消。

•非利息支出：2024年第三季度，非利息支出增加了35200美元万，达到34美元亿，2024年前9个月增加了65700美元万，达到97美元亿，这主要是由于我们信用卡业务的增长和营销支出的增加。

持有投资贷款：

•截至2024年9月30日，持有的用于投资的期末贷款比2023年12月31日增加了21亿，达到1,567美元亿，这主要是由我们投资组合的增长推动的。

•与2023年第三季度相比，2024年第三季度平均持有的投资贷款增加了99美元亿，达到154.0美元；与2023年前9个月相比，2024年前9个月增加了122美元亿，达到1,514美元亿，这主要是由于我们投资组合的增长。

净冲销和违约金额：

•与2023年第三季度相比，2024年第三季度的净撇账率增加118个基点至5.60%，与2023年前9个月相比，2024年前9个月的净撇账率增加153个基点至5.83%，这主要是由于我们的国内信用卡贷款组合本金冲销增加所致。

•截至2024年9月30日，30天以上的违约率比2023年12月31日下降了8个基点，降至4.54%，主要是由于期末贷款余额增加。

			25			第一资本金融公司（COF）

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目录

国内卡业务

国内卡业务2024年第三季度和前9个月的持续经营净利润分别为13亿美元和23亿美元，2023年第三季度和前9个月的净利润分别为12亿美元和26亿美元。2024年第三季度和2023年前9个月，国内卡业务占信用卡业务总净收入的90%以上。

表9.1总结了我们国内卡业务的财务业绩，并显示了所示期间的选定关键指标。

表9.1：国内卡业务业绩

						截至9月30日的三个月，																		截至9月30日的9个月，
(除特别注明外，以百万美元计)						2024						2023						变化						2024						2023												变化
精选利润表数据：
净利息收入						$	5,434					$	4,827					13%						$	15,407					$	13,670											13%
非利息收入						1,438						1,445						—						4,289						4,174												3
净收入合计(1)						6,872						6,272						10						19,696						17,844												10
信贷损失准备金						1,997						1,861						7						7,589						6,030												26
非利息支出						3,149						2,810						12						9,120						8,462												8
所得税前持续经营所得						1,726						1,601						8						2,987						3,352												(11)
所得税拨备						407						378						8						705						791												(11)
持续经营收入，扣除税款						$	1,319					$	1,223					8						$	2,282					$	2,561											(11)
选定的绩效指标：
平均投资贷款						$	147,021					$	137,500					7						$	144,560					$	132,889											9
平均贷款收益率(2)						19.62		%				18.96%						66个基点						19.04		%				18.31		%										73个基点
总净收入利润率(3)(4)						18.67						18.24						43						18.12						17.90												22
净冲销						$	2,063					$	1,512					36%						$	6,356					$	4,262											49%
净冲销率(5)						5.61%						4.40%						121个基点						5.86		%				4.28		%										158个基点
采购量						$	162,281					$	154,880					5%						$	470,347					$	447,374											5%
(除特别注明外，以百万美元计)						2024年9月30日						2023年12月31日						变化
选定的期末数据：
投资贷款						$	149,400					$	147,666					1%
30天以上违约率						4.53		%				4.61		%				（8）位点
信贷损失准备						$	12,494					$	11,261					11%
拨备覆盖率(6)						8.36		%				7.63		%				73个基点

__________

(1)我们根据信贷安排的合同规定确认开放式贷款的财务费用和手续费收入，并冲销任何无法收回的金额。财务费用和无法收回的费用反映为总净收入的减少。

(2)平均收益率是根据本期年化利息收入除以本期平均贷款计算的，不包括任何分配，例如资金转移定价。

(3)总净收入差额是根据该期间的年化净收入总额除以该期间的平均贷款计算得出的。

(4)沃尔玛计划终止使截至2024年9月30日的第三季度和9个月的收入利润率分别提高了51个基点和21个基点。

(5)沃尔玛计划终止使截至2024年9月30日的第三季度和9个月的国内卡净冲销率分别提高了38个基点和19个基点。

(6)沃尔玛计划终止导致2024年第二季度国内卡中累积的信用损失备抵为82600万美元。

由于我们的国内卡业务占我们信用卡业务的绝大部分，因此推动业绩的关键因素与影响我们总体信用卡业务的关键因素相似。与2023年第三季度相比，2024年第三季度国内卡业务的净利润有所增长，主要原因是：

			26			第一资本金融公司（COF）

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目录

•净利息收入增加主要是由于平均贷款余额和利润率增加，包括沃尔玛计划终止而取消收入分成条款的影响。

这些驱动因素被部分抵消：

•非利息费用增加主要是由于信用卡业务的增长和营销支出的增加。

•净冲销增加导致信用损失拨备增加，包括因沃尔玛计划终止而取消损失分担拨备的影响，但与2023年第三季度的拨备相比，拨备释放部分抵消了这一增加。

与2023年前9个月相比，2024年前9个月国内卡业务的净利润下降，主要原因是：

•信用损失拨备增加主要是由净冲销增加推动的，但部分被拨备减少所抵消。

•非利息费用增加主要是由于信用卡业务的增长和营销支出的增加。

这些驱动因素被部分抵消：

•净利息收入增加主要是由于平均贷款余额和利润率增加，包括沃尔玛计划终止而取消收入分成条款的影响。

消费者银行业务

我们消费银行业务的主要收入来源是贷款和存款的净利息收入以及服务费和客户相关费用。费用主要包括信用损失拨备、运营成本和营销费用。

我们的消费者银行业务在2024年第三季度和前9个月的持续经营业务中分别产生了40300万美元和13亿美元的净利润，在2023年第三季度和前9个月分别产生了6.11亿美元和20亿美元。

表10总结了我们消费者银行业务的财务业绩，并显示了所示期间的选定关键指标。

表10：消费者银行业务业绩

						截至9月30日的三个月，																		截至9月30日的9个月，
(除特别注明外，以百万美元计)						2024						2023						变化						2024						2023												变化
精选利润表数据：
净利息收入						$	2,028					$	2,133					(5)%						$	6,064					$	6,762											(10)%
非利息收入						182						142						28						513						426												20
净收入合计						2,210						2,275						(3)						6,577						7,188												(9)
信贷损失准备金						351						213						65						1,107						747												48
非利息支出						1,331						1,262						5						3,827						3,776												1
所得税前持续经营所得						528						800						(34)						1,643						2,665												(38)
所得税拨备						125						189						(34)						388						629												(38)
持续经营收入，扣除税款						$	403					$	611					(34)						$	1,255					$	2,036											(38)

			27			第一资本金融公司（COF）

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目录

选定的绩效指标：
平均投资贷款：
自动						$	74,920					$	75,740					(1)						$	74,264					$	76,473											(3)
零售银行业务						1,262						1,414						(11)						1,291						1,469												(12)
消费者银行业务总额						$	76,182					$	77,154					(1)						$	75,555					$	77,942											(3)
投资贷款平均收益率(1)						8.88		%				7.97%						91个基点						8.59		%				7.67%												92个基点
平均存款						$	306,121					$	287,457					6%						$	300,475					$	283,991											6%
平均存款利率						3.33		%				2.85		%				48个基点						3.23		%				2.43		%										80个基点
净冲销						$	401					$	349					15%						$	1,134					$	935											21%
净冲销率						2.11		%				1.81		%				30个基点						2.00		%				1.60		%										40个基点
汽车贷款发放						$	9,158					$	7,452					23%						$	25,143					$	20,823											21%
(除特别注明外，以百万美元计)						2024年9月30日						2023年12月31日						变化
选定的期末数据：
为投资而持有的贷款：
自动						$	75,505					$	74,075					2%
零售银行业务						1,253						1,362						(8)
消费者银行业务总额						$	76,758					$	75,437					2
30天以上违约率						5.53		%				6.25		%				（72）位点
30天以上拖欠率						6.31						7.08						(77)
不良贷款率						0.93						1.00						(7)
不良资产率(2)						1.01						1.09						(8)
信贷损失准备						$	2,015					$	2,042					(1)%
拨备覆盖率						2.63		%				2.71		%				（8）位点
存款						$	309,569					$	296,171					5%

_________

(1)平均收益率是根据本期年化利息收入除以本期平均贷款计算的，不包括任何分配，例如资金转移定价。

(2)不良资产主要包括不良贷款和收回资产。不良资产总率按不良资产总额除以期末投资贷款总额和收回资产总和计算。

与2023年第三季度和前9个月相比，影响我们2024年第三季度和前9个月消费者银行业务业绩的关键因素，以及2024年9月30日至2023年12月31日期间财务状况和信贷表现的变化包括以下内容：

•净利息收入： 2024年第三季度净利息收入减少10500万美元至20亿美元，2024年前9个月减少69800万美元至61亿美元，主要是由于我们零售银行业务的利润率下降，部分被我们零售银行业务的存款增加所抵消。

•非利息收入：2024年第三季度非利息收入增加了4000万美元至18200万美元，2024年前9个月增加了8700万美元至51300万美元，主要是由于借记卡购买量和汽车行业服务收入增加带来的互换收入增加。

•计提信贷损失准备：2024年第三季度信用损失拨备增加了13800万美元至35100万美元，2024年前9个月增加了36000万美元至11亿美元，主要是由于净冲销增加和汽车贷款组合中拨备减少。

•非利息支出： 与2023年第三季度相比，2024年第三季度的非利息费用基本持平，为13亿美元，与2023年前9个月相比，2024年前9个月为38亿美元。

			28			第一资本金融公司（COF）

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目录

持有投资贷款： 

•截至2024年9月30日，用于投资的期末贷款从2023年12月31日增加了13亿美元，达到768亿美元，主要是由于我们的汽车贷款组合的增长。

•与2023年第三季度相比，2024年第三季度用于投资的平均贷款减少97200万美元至762亿美元，减少24亿美元至美元与2023年前9个月相比，2024年前9个月为756亿，主要受2022年下半年及全年汽车首发量下降的影响推动2023.

押金：

•截至2024年9月30日，期末存款从2023年12月31日增加了134亿美元，达到3096亿美元，主要是由于我们国家消费银行战略的持续增长。

净冲销和违约金额： 

•2024年第三季度的净冲销率较2023年第三季度上升30个基点至2.11%，2024年前9个月比2023年前9个月上升40个基点至2.00%，主要是由于我们汽车贷款组合的净冲销率上升。

•截至2024年9月30日，30+天拖欠率与2023年12月31日相比下降了77个基点，至6.31%，主要是由于汽车拖欠库存下降。

商业银行业务

我们商业银行业务的主要收入来源是贷款和存款的净利息收入以及向客户提供的产品和服务（例如咨询服务、资本市场和金库管理）赚取的非利息收入。由于我们的商业银行业务拥有可产生免税收入、税收抵免或其他税收优惠的贷款和投资，因此我们以应税等值的方式呈现收入。费用主要包括信用损失拨备和运营成本。

我们的商业银行业务在2024年第三季度和前9个月的持续经营净收入分别为26300万美元和82100万美元，在2023年第三季度和前9个月分别为2.14亿美元和4.68亿美元。

			29			第一资本金融公司（COF）

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目录

表11总结了我们商业银行业务的财务业绩，并显示了所示期间的选定关键指标。

表11：商业银行业务业绩

						截至9月30日的三个月，																		截至9月30日的9个月，
(除特别注明外，以百万美元计)						2024						2023						变化						2024						2023												变化
精选利润表数据：
净利息收入						$	596					$	621					(4)%						$	1,804					$	1,901											(5)%
非利息收入						292						288						1						844						757												11
净收入合计(1)						888						909						(2)						2,648						2,658												—
信贷损失准备金(2)						48						116						(59)						80						521												(85)
非利息支出						495						512						(3)						1,493						1,524												(2)
所得税前持续经营所得						345						281						23						1,075						613												75
所得税拨备						82						67						22						254						145												75
持续经营收入，扣除税款						$	263					$	214					23						$	821					$	468											75
选定的绩效指标：
平均投资贷款：
商业和多户房地产						$	32,416					$	35,964					(10)						$	33,505					$	36,796											(9)
工商业						55,685						55,592						—						55,496						56,142												(1)
商业银行总额						$	88,101					$	91,556					(4)						$	89,001					$	92,938											(4)
投资贷款平均收益率(1)(3)						7.25		%				7.16		%				9个基点						7.21		%				6.73		%										48个基点
平均存款						$	30,365					$	37,279					(19)%						$	31,004					$	38,383											(19)%
平均存款利率						2.55		%				2.93		%				（38）位点						2.58		%				2.65		%										（7）位点
净冲销						$	49					$	58					(16)%						$	111					$	457											(76)%
净冲销率						0.22		%				0.25		%				（3）每秒						0.17		%				0.66		%										（49）位点
(除特别注明外，以百万美元计)						2024年9月30日						2023年12月31日						变化
选定的期末数据：
为投资而持有的贷款：
商业和多户房地产						$	32,199					$	34,446					(7)%
工商业						54,635						56,042						(3)
商业银行总额						$	86,834					$	90,488					(4)
不良贷款率						1.55		%				0.84		%				71个基点
不良资产率(4)						1.55						0.84						71
信贷损失准备(2)						$	1,530					$	1,545					(1)%
拨备覆盖率						1.76		%				1.71		%				5个基点
存款						$	30,598					$	32,712					(6)%
为他人提供贷款						53,162						52,341						2

__________

(1)我们的一些商业投资产生免税收入、税收抵免或其他税收优惠。因此，我们以应税等值的方式呈现我们的商业银行收入和收益率，使用21%的联邦法定税率和适用的州税计算，并对其他类别进行抵消。

(2)无资金贷款承诺损失拨备计入综合损益表的信贷损失拨备，相关准备金计入综合资产负债表的其他负债。截至2024年9月30日和2023年12月31日，我们的无资金贷款承诺准备金总额分别为14200万美元和15800万美元。

(3)平均收益率是根据本期年化利息收入除以本期平均贷款计算的，不包括任何分配，例如资金转移定价。

(4)不良资产包括不良贷款和其他止赎资产。不良资产总率是根据不良资产总额除以期末持有的投资贷款和其他止赎资产的合并贷款总额计算的。

			30			第一资本金融公司（COF）

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目录

与2023年第三季度和前9个月相比，影响我们2024年第三季度和前9个月商业银行业务业绩的关键因素，以及2024年9月30日至2023年12月31日期间财务状况和信贷表现的变化包括以下内容：

•净利息收入： 2024年第三季度净利息收入减少2500万美元至59600万美元，2024年前9个月减少9700万美元至18亿美元，主要是由于平均贷款余额下降。

•非利息收入：与2023年第三季度相比，2024年第三季度的非利息收入基本持平，为29200万美元。2024年前9个月非利息收入增加8700万美元至84400万美元，主要受资本市场业务的推动。

•计提信贷损失准备： 2024年第三季度信贷损失拨备减少6800万美元至4800万美元，主要是由于与2023年第三季度的拨备增加相比，拨备释放。2024年前9个月，信贷损失拨备减少了44100万美元至8000万美元，主要是由于我们办公房地产投资组合的净冲销减少。

•无息发票： 与2023年第三季度相比，2024年第三季度的非利息费用基本持平，为49500万美元，与2023年前9个月相比，2024年前9个月为15亿美元。

持有投资贷款：

•截至2024年9月30日，用于投资的期末贷款较2023年12月31日减少了37亿美元至868亿美元，主要是由于客户付款超过了发放。

•2024年第三季度，用于投资的平均贷款减少了35亿美元，至881亿美元，2024年前9个月减少了39亿美元，至890亿美元，主要是由于客户付款超过了贷款发放。

存款：

•截至2024年9月30日，期末存款较2023年12月31日减少21亿美元至306亿美元，主要是由于有意减少较低保证金存款余额。

净冲销和不良贷款：

•2024年第三季度净冲销率基本持平，为0.22%。2024年前9个月的净冲销率下降49个基点至0.17%，主要是由于我们办公房地产投资组合的净冲销率下降。

•截至2024年9月30日，不良贷款率较2023年12月31日上升71个基点，达到1.55%，主要是由于信贷评级下调。

其他类别

其他包括与我们的集中企业金库集团活动相关的未分配金额，例如我们的企业投资证券组合的管理、资产/负债管理以及对我们的资金转移定价流程的监督。其他还包括：

•不直接支持业务分部运营或业务分部在评估其业绩时不被视为财务责任的未分配企业收入和费用，例如与收购Discover协议相关的某些重组费用和整合费用;

•与某些行项目重新分类相关的抵消;

•达到未评估到我们主要业务部门的综合有效税率的剩余税收费用或福利;以及

•外币余额的汇率波动。

			31			第一资本金融公司（COF）

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目录

表12总结了我们其他类别在所示期间的财务业绩。

表12：其他类别结果

						截至9月30日的三个月，																		截至9月30日的9个月，
(百万美元)						2024						2023						变化						2024						2023												变化
精选利润表数据：
净利息损失						$	(291)					$	(445)					(35)%						$	(1,067)					$	(1,439)											(26)%
非利息收入(亏损)						(45)						—						**						(36)						1												**
净收入合计(1)						(336)						(445)						(24)						(1,103)						(1,438)												(23)
信贷损失准备金						(1)						2						**						(1)						3												**
非利息支出						121						71						70						347						226												54
所得税前持续经营亏损						(456)						(518)						(12)						(1,449)						(1,667)												(13)
所得税优惠						(193)						(217)						(11)						(601)						(672)												(11)
持续经营亏损，扣除税款						$	(263)					$	(301)					(13)						$	(848)					$	(995)											(15)

__________

(1)我们的一些商业投资产生免税收入、税收抵免或其他税收优惠。因此，我们以应税等值的方式呈现我们的商业银行收入和收益率，使用21%的联邦法定税率和适用的州税计算，并对其他类别进行抵消。

** 没有意义。

与2023年第三季度相比，2024年第三季度持续经营亏损减少3800万美元，至亏损26300万美元，与2023年前9个月相比，2024年前9个月减少14700万美元，至亏损84800万美元，主要是由于国库收入增加。

关键会计政策和估算

根据美国公认会计原则编制财务报表需要管理层做出一系列影响合并财务报表资产、负债、收入和费用金额的判断、估计和假设。了解我们的会计政策以及我们在应用这些政策时使用管理层判断和估计的程度对于了解我们的财务报表至关重要。我们在“第二部分-第8项”中提供了重要会计政策的摘要。财务报表和补充数据-注1-重要会计政策摘要”，请参阅我们2023年表格10-k。

我们已将以下会计估计确定为关键，因为它们需要对高度复杂和本质上不确定的事项做出重大判断和假设，并且使用合理不同的估计和假设可能会对我们的经营业绩或财务状况产生重大影响。我们的关键会计政策和估计如下：

•贷款损失准备金

•商誉

•公允价值

•客户奖励储备

我们持续评估我们的关键会计估计和判断，并根据不断变化的条件在必要时更新它们。我们的2023年表格10-k“第II部分-第7项”中描述的关键会计政策和估计没有发生任何变化。MD & A-Critical会计政策和估计。”

			32			第一资本金融公司（COF）

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目录

会计变更和后果

截至2024年9月30日已发布但尚未采用的会计准则

标准

指导

采用时机和 财务报表影响

所得税披露 会计准则更新(“ASU”)第2023-09号，所得税(主题740)：改进所得税披露 2023年12月发布

要求各实体每年在所得税税率对账中提供更多信息，并对已支付的所得税进行更多披露。

从我们的年度期间开始生效，截止日期为2025年12月31日，允许及早采用。未来的申请是必须的，追溯申请也是允许的。 我们计划在上述年度内采用这项标准，并预期会采用新的规定。我们预计这样的采用将导致在我们的所得税脚注和合并现金流量表中包含更多的信息。

分部报告披露 ASU编号2023-07，分部报告(主题280)： 改进可报告部门披露 2023年11月发布

要求在年度和中期基础上披露增量分部信息。

从2024年12月31日结束的年度期间开始生效，并在2025年1月1日开始的财政年度内的过渡期内生效，允许提前采用。需要追溯申请。 我们计划在上述年度内采用这项标准，并追溯实施新规定。我们仍在评估采用我们的业务部门脚注中的披露的影响程度。

			33			第一资本金融公司（COF）

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目录

资本管理

我们的资本水平和构成由多种因素决定，包括下文更详细描述的综合监管资本要求以及内部压力测试等基于风险的资本评估。我们的资本水平和构成还可能受到评级机构指导方针、附属资本要求、商业环境、金融市场状况以及由于我们业务和市场环境不利变化而对潜在未来损失的评估的影响。

资本标准和及时纠正行动

公司和银行分别遵守美联储理事会（“美联储”）和货币审计署（“BCC”）制定的监管资本要求（“巴塞尔III资本规则”）。巴塞尔III资本规则实施巴塞尔银行监管委员会（“巴塞尔委员会”）发布的某些资本要求，以及2010年多德-弗兰克华尔街改革和消费者保护法案（“多德-弗兰克法案”）的某些条款和其他资本条款。

作为一家总合并资产至少为2500亿美元但低于7000亿美元且不超过任何适用的风险门槛的银行控股公司（“BHC”），该公司是《巴塞尔协议III》资本规则下的第三类机构。

该银行作为第三级机构的子公司，是第三级银行。此外，该银行作为受保险存款机构，须遵守及时纠正行动（“PCA”）资本法规。

巴塞尔协议III和美国资本规则

根据《巴塞尔协议III》资本规则，我们必须将最低CET 1资本比率维持在4.5%，一级资本比率为6.0%，总资本比率为8.0%，每种情况都与风险加权资产相关。此外，还要保持4.0%的最低杠杆率和3.0%的最低补充杠杆率。我们还受到资本节约缓冲要求和反周期资本缓冲要求的约束，各自描述如下。我们的资本率和杠杆率是根据巴塞尔协议III标准化方法框架计算的。

我们已选择将累计其他全面收益（“AOCI”）的某些要素从我们的监管资本中剔除，这是第三类机构允许的。有关根据巴塞尔协议III资本规则的拟议变更在监管资本中承认AOCI的信息，请参阅“第一部分-第1项。业务监督和监管-银行业审慎监管-资本和压力测试监管-巴塞尔III最终提案”在我们的2023年表格10-k中。

总部位于美国的全球系统重要性银行（“G-SIB”）须遵守额外的CET 1资本要求，称为“G-SIB附加费”。根据最新的可用数据，我们不是G-SIb，因此我们不需要缴纳G-SIb附加费。

强调资本缓冲规则

《巴塞尔协议III》资本规则要求银行机构维持高于监管最低比率的资本节约缓冲，由CET 1资本组成。根据美联储实施压力资本缓冲要求的最终规则（“压力资本缓冲规则”），公司的“标准化方法资本节约缓冲”包括其压力资本缓冲要求（如下所述）、任何G-SIb附加费（不适用于我们）和逆周期资本缓冲要求（目前设定为0%）。任何增加反周期资本缓冲的决定通常将在宣布增加后十二个月生效，除非美联储、OSC和联邦存款保险公司（“FDIC”）（以下统称为“联邦银行机构”）设定更早的生效日期。

公司的压力资本缓冲要求每年都会根据公司的监管压力测试结果重新调整。特别是，公司的压力资本缓冲要求等于，最低为2.5%，（i）在美联储监管压力测试的严重不利情况下，公司的初始CET 1资本比率与其最低预计CET 1资本比率之间的差异加上（ii）公司预计四个季度普通股股息的比率（规划期限的第四至第七季度）至公司预计CET 1资本比率在监管压力测试下达到最低值的季度的预计风险加权资产。

			34			第一资本金融公司（COF）

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目录

根据公司2023年监管压力测试结果，公司2023年10月1日至2024年9月30日期间的压力资本缓冲要求为4.8%。因此，2023年10月1日至2024年9月30日期间，公司压力资本缓冲框架下CET一级资本、一级资本和总资本率的最低资本要求加上标准化方法资本节约缓冲分别为9.3%、10.8%和12.8%。

根据公司2024年监管压力测试结果，公司2024年10月1日至2025年9月30日期间的压力资本缓冲要求为5.5%。因此，2024年10月1日至2025年9月30日期间，公司压力资本缓冲框架下CET一级资本、一级资本和总资本率的最低资本要求加上标准化方法资本节约缓冲分别为10.0%、11.5%和13.5%。

压力资本缓冲规则不适用于银行。根据仅适用于银行的BCC资本规定，银行的资本节约缓冲继续固定在2.5%。因此，银行的最低资本要求加上CET 1资本、一级资本和总资本率的资本节约缓冲分别为7.0%、8.5%和10.5%。

如果公司或银行未能将其资本比率维持在最低资本要求和适用的资本节约缓冲要求之上，则将面临越来越严格的资本分配和向某些高管支付酌情奖金的自动限制。

截至2024年9月30日和2023年12月31日，公司和银行分别 每家公司都超过了适用于其的最低资本要求和资本节约缓冲要求， 公司和银行各自”资本充足。“适用于公司的‘资本充足’标准是在美联储的法规中制定的，适用于银行的‘资本充足’标准是在BCC的PCA资本要求中制定的。

CESL过渡规则

联邦银行机构通过了一项最终规则（“CESL过渡规则”），为银行机构提供了一个可选的五年过渡期，以分阶段考虑当前预期信用损失（“CESL”）标准对其监管资本的影响（“CESL过渡选举”）。我们于2020年1月1日开始采用CESL准则（出于会计目的），并于2020年第一季度进行了CESL过渡选举（出于监管资本目的）。因此，本报告中列出的适用金额反映了此类选择。

根据CECL过渡规则，银行机构可以选择将采用CECL对其监管资本的估计影响推迟到2021年12月31日，然后从2022年1月1日到2024年12月31日分阶段实施估计的累积影响。对于CECL在最初两年中的“第二天”持续影响，联邦银行机构使用统一的“比例系数”25%，作为CECL标准下与先前发生的损失方法相比的拨备增加的近似值。因此，从2020年1月1日到2021年12月31日，当选的银行机构被允许向其监管资本中追加相当于税后第一天CECL采用影响的总和和自采用CECL标准以来津贴增加的25%。从2022年1月1日到2024年12月31日，税后第一天采用CECL的影响和累积的第二天持续影响将以每年25%的速度分阶段计入监管资本。下表汇总了2020年至2025年期间对我们监管资本的资本影响延迟和分阶段。

资本影响延迟

阶段

2020

2021

2022

2023

2024

2025

“第1天”CESL采用影响

资本影响推迟至2022年

25%逐步实施

50%逐步实施

75%逐步实施

完全分阶段进入

累积“第二天”持续影响

25%的比例因子，作为CMEL下津贴增加的近似值

截至2021年12月31日，我们根据CMEL过渡规则向监管资本增加了总计24亿美元。根据该规则，截至2024年1月1日，我们已分阶段投入该金额的75%。剩余的60000万美元将于2025年1月1日分阶段投入。截至2024年9月30日，公司CET1资本比率，反映了

			35			第一资本金融公司（COF）

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CESL过渡规则，是 13.6% 而且本来是 13.4% 不包括CESL过渡规则的影响（或“完全分阶段实施”）。

市场风险规则

“市场风险规则”补充了《巴塞尔协议III》资本规则，要求受该规则约束的机构调整其基于风险的资本比率，以反映其交易账簿中的市场风险。市场风险规则通常适用于交易资产和负债总额等于总资产的10%或以上或10亿美元或以上的机构。 截至2024年9月30日，公司和银行均遵守《市场风险规则》。 有关更多信息，请参阅下面的“市场风险概况”。

有关我们所遵守的监管资本规则的描述，包括最近根据巴塞尔协议III最终提案对这些规则提出的修订，请参阅“第一部分-第1项。我们2023年表格10-k中的业务监督和监管”。

表13提供了截至2024年9月30日和2023年12月31日《巴塞尔协议III》标准化方法下的监管资本率、监管最低资本充足率和适用的资本充足标准的比较。

表13：巴塞尔协议III下的资本比率(1)(2)

						2024年9月30日																		2023年12月31日
						比						最低要求 资本 充分性						好的- 大写						比						最低要求 资本 充分性						好的- 大写
Capital One Financial Corp：
普通股一级资本(3)						13.6		%				4.5		%				N/A						12.9		%				4.5		%				N/A
一级资本(4)						14.9						6.0						6.0		%				14.2						6.0						6.0		%
总资本(5)						16.6						8.0						10.0						16.0						8.0						10.0
第1级杠杆(6)						11.6						4.0						N/A						11.2						4.0						N/A
补充杠杆(7)						9.9						3.0						N/A						9.6						3.0						N/A
CONA：
普通股一级资本(3)						14.0						4.5						6.5						13.1						4.5						6.5
一级资本(4)						14.0						6.0						8.0						13.1						6.0						8.0
总资本(5)						15.6						8.0						10.0						14.3						8.0						10.0
第1级杠杆(6)						10.9						4.0						5.0						10.3						4.0						5.0
补充杠杆(7)						9.3						3.0						N/A						8.8						3.0						N/A

__________

(1)不适用的资本要求用“不适用”表示。

(2)截至2024年9月30日的比率是初步的，因此可能会发生变化，直到我们提交2024年9月30日的FR Y-9 C表格-控股公司合并财务报表和电话报告。

(3)普通股一级资本比率是一种监管资本衡量标准，根据普通股一级资本除以风险加权资产计算。

(4)一级资本比率是一种监管资本指标，根据一级资本除以风险加权资产计算。

(5)总资本比率是一种监管资本指标，根据总资本除以风险加权资产计算。

(6)一级杠杆率是一种监管资本指标，根据一级资本除以调整后的平均资产计算得出。

(7)补充杠杆率是一种监管资本指标，根据一级资本除以总杠杆风险敞口计算。

			36			第一资本金融公司（COF）

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表14列出了截至2024年9月30日和2023年12月31日《巴塞尔协议III》标准化方法下的监管资本和监管资本指标。

表14：基于监管风险的资本成分和监管资本指标

(百万美元)						2024年9月30日						2023年12月31日
巴塞尔协议III标准化方法下的监管资本
普通股（不包括AOCI）						$	64,966					$	62,710
调整和扣除：
AOCI，税后(1)						58						27
商誉，扣除相关递延税项负债后的净额						(14,816)						(14,811)
其他无形和递延所得税资产，扣除递延所得税负债						(252)						(311)
普通股一级资本						49,956						47,615
一级资本工具						4,845						4,845
一级资本						54,801						52,460
二级资本工具						1,612						1,936
符合条件的信贷损失准备						4,738						4,728
二级资本						6,350						6,664
总资本						$	61,151					$	59,124
监管资本指标
风险加权资产						$	368,199					$	369,206
调整后平均资产(2)						473,146						467,553
总杠杆敞口(3)						553,624						546,909

__________

(1)根据适用于第三类机构的规则，排除AOCI的某些组成部分。请参阅本报告中的“资本管理-资本标准和及时纠正通知-巴塞尔协议III和美国资本规则”。

(2)包括根据《巴塞尔协议III》资本规则从一级资本中扣除的资产负债表内资产调整。

(3)反映《巴塞尔协议III》资本规则规定的补充杠杆率分母的表内和表外金额。

资本规划和监管压力测试

我们重新购买了 1.5亿美元 2024年第三季度我们普通股的股份数量以及 4.03亿美元 2024年前9个月我们普通股的股份数量。

2024年8月28日，美联储确认并宣布了对包括该公司在内的所有大型银行机构的个人压力资本缓冲要求。 公司2024年10月1日至2025年9月30日期间的最终压力资本缓冲要求为5.5%。因此，2024年10月1日至2025年9月30日期间，公司压力资本缓冲框架下CET一级资本、一级资本和总资本率的最低资本要求加上标准化方法资本节约缓冲分别为10.0%、11.5%和13.5%。

有关我们所遵守的监管资本规划规则和压力测试要求的描述，请参阅“第一部分-第1项。我们2023年表格10-k中的业务监督和监管”。

美联储的资本计划规则规定，如果BHC确定自上次提交资本计划以来，其风险状况、财务状况或公司结构已经或将发生重大变化，则必须在30个日历日内更新并重新提交其资本计划，但可能会延长60天.我们确定我们对Discover的拟议收购构成重大变化，并根据资本计划规则的要求提交了更新的资本计划。资本计划规则进一步规定，发生需要重新提交的事件后，BHC不得进行任何资本分配，除非获得美联储的批准。因此，我们所有的资本分配现在都必须得到美联储的事先批准，等待美联储考虑我们重新提交的资本计划。我们已获得美联储事先批准进行某些资本分配。

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股息政策和股票购买

2024年前9个月，我们宣布并支付了普通股股息 7.05亿美元，或$1.80 每股以及优先股股息 17100万美元.根据合并协议的条款，在交易完成或合并协议终止之前，我们不得向普通股支付季度超过每股0.60美元的季度现金股息。

下表总结了2024年前9个月我们各优先股系列支付的每股股息。

表15：每股支付的优先股股息

系列						描述						发行日期						每年 股息率						派息次数						2024
																														Q3						Q2						Q1
系列I						5.000% 非累计						9月11日， 2019						5.000%						季度						$12.50						$12.50						$12.50
J系列						4.800% 非累计						1月31日， 2020						4.800						季度						12.00						12.00						12.00
K系列						4.625% 非累计						9月17日， 2020						4.625						季度						11.56						11.56						11.56
L系列						4.375% 非累计						5月4日， 2021						4.375						季度						10.94						10.94						10.94
M辑						3.950%固定利率重置 非累计						6月10日， 2021						截至2026年8月31日为3.950%; 2026年9月1日以及随后每5周年重置5年期国债利率+3.157%						季度						9.88						9.88						9.88
系列N						4.250% 非累计						7月29日， 2021						4.250						季度						10.63						10.63						10.63

向股东宣布和支付股息及其金额由董事会自行决定，并取决于我们的经营业绩、财务状况、资本水平、现金需求、未来前景、监管要求和董事会认为相关的其他因素。有关因 资本计划重新提交，请参阅“资本管理—资本规划和监管压力测试”。

作为一家BHC，我们支付股息的能力在很大程度上取决于从我们的子公司收到股息或其他付款。该银行受到监管限制，限制其向我们的BHC转移资金的能力。截至2024年9月30日，世行可用于支付股息的资金为92亿美元。不能保证我们会宣布并向股东支付任何股息。

我们重新购买了 1.5亿美元 2024年第三季度我们普通股的股份数量以及 4.03亿美元在2024年的前九个月，我们普通股的股票。未来任何普通股回购的时间和确切金额将取决于各种因素，包括监管部门的批准、市场状况、增长机会、我们的资本状况和留存收益金额。董事会授权的股票回购计划不包括特定的价格目标，可以通过公开市场购买、投标报价或私下谈判的交易执行，包括利用规则10b5-1计划，没有设定的到期日，可以随时暂停。有关股息和股票回购的其他信息，请参阅本报告中的“资本管理--资本规划和监管压力测试”和“第二部分--股权证券的未登记销售和收益的使用”，以及“第一部分--第一项--业务--监督和监管--对银行业的审慎监管--来自附属公司的资金和股息在我们的2023年Form 10-k中。

			38			第一资本金融公司（COF）

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目录

风险管理

风险管理框架

我们的风险管理框架（“框架”）为整个公司的风险管理设定了一致的预期。它还对我们的“三道防线”模型设定了期望，该模型定义了整个公司承担和管理风险的角色、责任和问责。监督有效框架的责任由我们的董事会直接或通过其委员会承担。

第一线 承担并承担风险

二线 一线建议与挑战

三线 提供独立保证

定义

对风险负责并负责：i）创造收入或减少费用; ii）支持业务向客户提供产品或服务;或iii）为一线提供技术服务。

独立风险管理（“RST”）和支持职能（例如，人力资源、会计、法律）为公司提供支持服务。

内部审计和信用审查。

主要职责

识别、评估、衡量、监控、控制和报告与其业务相关的风险。

警告：独立监督和评估第一道防线的风险承担活动。 支持职能：为企业提供支持服务的专业知识中心。

向董事会和高级管理层提供独立和客观的保证，确保系统和治理流程按预期设计和运作。

			39			第一资本金融公司（COF）

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我们的框架为整个公司的风险管理设定了一致的预期，由以下九个要素组成：

治理和问责

战略和风险一致

风险识别

评估、测量 和响应

监测和测试

汇总、报告和升级

资本和流动性管理（包括压力测试）

风险数据和使能技术

文化与人才管理

We provide additional discussion of our risk management principles, roles and responsibilities, framework and risk appetite under “Part II—Item 7. MD&A—Risk Management” in our 2023 Form 10-K.

Risk Categories

We apply our Framework to protect the Company from the major categories of risk that we are exposed to through our business activities. We have seven major categories of risk as noted below. We provide a description of these categories and how we manage them under “Part II—Item 7. MD&A—Risk Management” in our 2023 Form 10-K.

•Compliance risk

•Credit risk

•Liquidity risk

•Market risk

•Operational risk

•Reputation risk

•Strategic risk

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CREDIT RISK PROFILE

Our loan portfolio accounts for the substantial majority of our credit risk exposure. Our lending activities are governed under our credit policies and are subject to independent review and approval. Below we provide information about the composition of our loan portfolio, key concentrations and credit performance metrics.

We also engage in certain non-lending activities that may give rise to ongoing credit and counterparty settlement risk, including purchasing securities for our investment securities portfolio, entering into derivative transactions to manage our market risk exposure and to accommodate customers, extending short-term advances on syndication activity including bridge financing transactions we have underwritten, depositing certain operational cash balances in other financial institutions, executing certain foreign exchange transactions and extending customer overdrafts. We provide additional information related to our investment securities portfolio under “Consolidated Balance Sheets Analysis—Investment Securities” and “Part I—Item 1. Financial Statements—Note 3—Investment Securities” as well as credit risk related to derivative transactions in “Part I— Item 1. Financial Statements—Note 9—Derivative Instruments and Hedging Activities.”

Portfolio and Geographic Composition of Loans Held for Investment

Our loan portfolio consists of loans held for investment, including loans held in our consolidated trusts, and loans held for sale. The information presented in this section excludes loans held for sale, which totaled $96 million and $854 million as of September 30, 2024 and December 31, 2023, respectively.

Table 16 presents the composition of our portfolio of loans held for investment by portfolio segment as of September 30, 2024 and December 31, 2023.

Table 16: Portfolio Composition of Loans Held for Investment

						September 30, 2024												December 31, 2023
(Dollars in millions)						Loans						% of Total						Loans						% of Total
Credit Card:
Domestic credit card						$	149,400					46.6		%				$	147,666					46.1		%
International card businesses						7,251						2.3						6,881						2.1
Total credit card						156,651						48.9						154,547						48.2
Consumer Banking:
Auto						75,505						23.6						74,075						23.1
Retail banking						1,253						0.4						1,362						0.5
Total consumer banking						76,758						24.0						75,437						23.6
Commercial Banking:
Commercial and multifamily real estate						32,199						10.0						34,446						10.7
Commercial and industrial						54,635						17.1						56,042						17.5
Total commercial banking						86,834						27.1						90,488						28.2
Total loans held for investment						$	320,243					100.0		%				$	320,472					100.0		%

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Geographic Composition

We market our credit card products throughout the United States, the United Kingdom and Canada. Our credit card loan portfolio is geographically diversified due to our product and marketing approach. The table below presents the geographic profile of our credit card loan portfolio as of September 30, 2024 and December 31, 2023.

Table 17: Credit Card Portfolio by Geographic Region

						September 30, 2024												December 31, 2023
(Dollars in millions)						Amount						% of Total						Amount						% of Total
Domestic credit card:
California						$	15,327					9.8		%				$	15,167					9.8%
Texas						12,879						8.2						12,318						8.0
Florida						11,481						7.3						11,148						7.2
New York						9,655						6.2						9,578						6.2
Pennsylvania						6,030						3.9						5,824						3.8
Illinois						5,710						3.6						5,581						3.6
Ohio						5,077						3.2						4,845						3.1
New Jersey						4,920						3.1						4,702						3.0
Georgia						4,789						3.1						4,606						3.0
North Carolina						4,283						2.7						4,088						2.6
Other						69,249						44.3						69,809						45.2
Total domestic credit card						149,400						95.4						147,666						95.5
International card businesses:
United Kingdom						4,109						2.6						3,639						2.4
Canada						3,142						2.0						3,242						2.1
Total international card businesses						7,251						4.6						6,881						4.5
Total credit card						$	156,651					100.0		%				$	154,547					100.0%

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Our auto loan portfolio is geographically diversified in the United States due to our product and marketing approach. Retail banking includes small business loans and other consumer lending products originated through our branch and café network. The table below presents the geographic profile of our auto loan and retail banking portfolios as of September 30, 2024 and December 31, 2023.

Table 18: Consumer Banking Portfolio by Geographic Region

						September 30, 2024												December 31, 2023
(Dollars in millions)						Amount						% of Total						Amount						% of Total
Auto:
Texas						$	9,189					12.0		%				$	9,020					11.9		%
California						8,747						11.4						8,747						11.6
Florida						6,742						8.8						6,488						8.6
Pennsylvania						3,342						4.4						3,215						4.3
Ohio						3,316						4.3						3,130						4.1
Illinois						3,066						4.0						2,988						4.0
Georgia						2,917						3.8						2,971						3.9
New Jersey						2,657						3.5						2,626						3.5
Other						35,529						46.2						34,890						46.3
Total auto						75,505						98.4						74,075						98.2
Retail banking:
New York						380						0.5						417						0.6
Texas						281						0.4						297						0.4
Louisiana						202						0.2						234						0.3
New Jersey						84						0.1						94						0.1
Maryland						73						0.1						81						0.1
Virginia						53						0.1						54						0.1
Other						180						0.2						185						0.2
Total retail banking						1,253						1.6						1,362						1.8
Total consumer banking						$	76,758					100.0		%				$	75,437					100.0		%

    

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We originate commercial and multifamily real estate loans in most regions of the United States. The table below presents the geographic profile of our commercial real estate portfolio as of September 30, 2024 and December 31, 2023.

Table 19: Commercial Real Estate Portfolio by Region

						September 30, 2024												December 31, 2023
(Dollars in millions)						Amount						% of Total						Amount						% of Total
Geographic concentration:(1)
Northeast						$	12,597					39.1		%				$	13,931					40.5		%
South						7,732						24.0						7,073						20.5
Pacific West						4,658						14.5						5,342						15.5
Mid-Atlantic						2,811						8.7						4,138						12.0
Mountain						2,248						7.0						1,910						5.5
Midwest						2,153						6.7						2,052						6.0
Total						$	32,199					100.0		%				$	34,446					100.0		%

__________

(1)Geographic concentration is generally determined by the location of the borrower’s business or the location of the collateral associated with the loan. Northeast consists of CT, MA, ME, NH, NJ, NY, PA, RI and VT. South consists of AL, AR, FL, GA, KY, LA, MS, NC, OK, SC, TN and TX. Pacific West consists of: AK, CA, HI, OR and WA. Mid-Atlantic consists of DC, DE, MD, VA and WV. Midwest consists of: IA, IL, IN, KS, MI, MN, MO, ND, NE, OH, SD and WI. Mountain consists of: AZ, CO, ID, MT, NM, NV, UT and WY.

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Commercial Loans by Industry

Table 20 summarizes our commercial loans held for investment portfolio by industry classification as of September 30, 2024 and December 31, 2023. Industry classifications below are based on our interpretation of the Federal Loan Classification codes as they pertain to each individual loan.

Table 20: Commercial Loans by Industry

(Percentage of portfolio)						September 30, 2024						December 31, 2023
Industry Classification:
Finance						32%						31		%
Real Estate & Construction(1)						28						30
Government & Education						9						8
Health Care & Pharmaceuticals						6						6
Commercial Services						4						4
Technology, Telecommunications & Media						3						2
Oil, Gas & Pipelines						3						3
Other						15						16
Total						100		%				100		%

__________

(1)The funded balance for commercial office real estate held for investment totaled $2.0 billion, or 2.3% and $2.3 billion, or 2.5%, as of September 30, 2024 and December 31, 2023, respectively. Commercial office real estate exposure does not include loans in our healthcare real estate business secured by medical office properties and loans to office real estate investment trusts or real estate investment funds.

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Credit Risk Measurement

We closely monitor economic conditions and loan performance trends to assess and manage our exposure to credit risk. Trends in delinquency rates are the key credit quality indicator for our credit card and retail banking loan portfolios as changes in delinquency rates can provide an early warning of changes in potential future credit losses. The key indicator we monitor when assessing the credit quality and risk of our auto loan portfolio is borrower credit scores as they provide insight into borrower risk profiles, which give indications of potential future credit losses. The key credit quality indicator for our commercial loan portfolios is our internal risk ratings as we generally classify loans that have been delinquent for an extended period of time and other loans with significant risk of loss as nonperforming. In addition to these credit quality indicators, we also manage and monitor other credit quality metrics such as level of nonperforming loans and net charge-off rates.

We underwrite most consumer loans using proprietary models, which typically include credit bureau data, such as borrower credit scores, application information and, where applicable, collateral and deal structure data. We continuously adjust our management of credit lines and collection strategies based on customer behavior and risk profile changes. We also use borrower credit scores for subprime classification, for competitive benchmarking and, in some cases, to drive product segmentation decisions. 

Table 21 provides details on the credit scores of our domestic credit card and auto loan portfolios as of September 30, 2024 and December 31, 2023.

Table 21: Credit Score Distribution

(Percentage of portfolio)						September 30, 2024						December 31, 2023
Domestic credit card—Refreshed FICO scores:(1)
Greater than 660						69		%				68		%
660 or below						31						32
Total						100		%				100		%
Auto—At origination FICO scores:(2)
Greater than 660						53		%				53		%
621 - 660						20						20
620 or below						27						27
Total						100		%				100		%

__________

(1)Percentages represent period-end loans held for investment in each credit score category. Domestic Card credit scores generally represent Fair Isaac Corporation (“FICO”) scores. These scores are obtained from one of the major credit bureaus at origination and are refreshed monthly thereafter. We approximate non-FICO credit scores to comparable FICO scores for consistency purposes. Balances for which no credit score is available or the credit score is invalid are included in the 660 or below category.

(2)Percentages represent period-end loans held for investment in each credit score category. Auto credit scores generally represent average FICO scores obtained from three credit bureaus at the time of application and are not refreshed thereafter. Balances for which no credit score is available or the credit score is invalid are included in the 620 or below category.

In our commercial loan portfolio, we assign internal risk ratings to loans based on relevant information about the ability of the borrowers to repay their debt. In determining the risk rating of a particular loan, some of the factors considered are the borrower’s current financial condition, historical and projected future credit performance, prospects for support from financially responsible guarantors, the estimated realizable value of any collateral and current economic trends.

We present information in the section below on the credit performance of our loan portfolio, including the key metrics we use in tracking changes in the credit quality of our loan portfolio. See “Part I—Item 1. Financial Statements—Note 4—Loans” for additional credit quality information and see “Part II—Item 8. Financial Statements—Note 1—Summary of Significant Accounting Policies” in our 2023 Form 10-K for information on our accounting policies for delinquent and nonperforming loans, charge-offs and loan modifications and restructurings for each of our loan categories.

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Delinquency Rates

We consider the entire balance of an account to be delinquent if the minimum required payment is not received by the customer’s due date, measured at each balance sheet date. Our 30+ day delinquency metrics include all loans held for investment that are 30 or more days past due, whereas our 30+ day performing delinquency metrics include all loans held for investment that are 30 or more days past due but are currently classified as performing and accruing interest. The 30+ day delinquency and 30+ day performing delinquency metrics are the same for domestic credit card loans, as we continue to classify these loans as performing until the account is charged off, typically when the account is 180 days past due. See “Part II—Item 8. Financial Statements and Supplementary Data—Note 1—Summary of Significant Accounting Policies” in our 2023 Form 10-K for information on our policies for classifying loans as nonperforming for each of our loan categories. We provide additional information on our credit quality metrics in “Business Segment Financial Performance.”

Table 22 presents our 30+ day performing delinquency rates and 30+ day delinquency rates of our portfolio of loans held for investment, by portfolio segment, as of September 30, 2024 and December 31, 2023.

Table 22: 30+ Day Delinquencies

						September 30, 2024																								December 31, 2023
						30+ Day Performing Delinquencies												30+ Day Delinquencies												30+ Day Performing Delinquencies												30+ Day Delinquencies
(Dollars in millions)						Amount						Rate(1)						Amount						Rate(1)						Amount						Rate(1)						Amount						Rate(1)
Credit Card:
Domestic credit card						$	6,767					4.53		%				$	6,767					4.53		%				$	6,806					4.61		%				$	6,806					4.61		%
International card businesses						329						4.53						337						4.65						321						4.67						329						4.77
Total credit card						7,096						4.53						7,104						4.54						7,127						4.61						7,135						4.62
Consumer Banking:
Auto						4,237						5.61						4,823						6.39						4,696						6.34						5,307						7.16
Retail banking						11						0.95						24						1.92						17						1.19						33						2.40
Total consumer banking						4,248						5.53						4,847						6.31						4,713						6.25						5,340						7.08
Commercial Banking:
Commercial and multifamily real estate						1						—						183						0.57						—						—						121						0.35
Commercial and industrial						131						0.24						315						0.58						55						0.10						181						0.32
Total commercial banking						132						0.15						498						0.57						55						0.06						302						0.33
Total						$	11,476					3.58						$	12,449					3.89						$	11,895					3.71						$	12,777					3.99

__________

(1)Delinquency rates are calculated by dividing delinquency amounts by period-end loans held for investment for each specified loan category.

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Table 23 presents our 30+ day delinquent loans held for investment, by aging and geography, as of September 30, 2024 and December 31, 2023.

Table 23: Aging and Geography of 30+ Day Delinquent Loans

						September 30, 2024												December 31, 2023
(Dollars in millions)						Amount						Rate(1)						Amount						Rate(1)
Delinquency status:
30 – 59 days						$	5,234					1.64		%				$	5,367					1.68		%
60 – 89 days						3,072						0.96						3,119						0.97
> 90 days						4,143						1.29						4,291						1.34
Total						$	12,449					3.89		%				$	12,777					3.99		%
Geographic region:
Domestic						$	12,112					3.78		%				$	12,448					3.89		%
International						337						0.11						329						0.10
Total						$	12,449					3.89		%				$	12,777					3.99		%

__________

(1)Delinquency rates are calculated by dividing delinquency amounts by total period-end loans held for investment.

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Table 24 summarizes loans that were 90+ days delinquent, in regards to interest or principal payments, and still accruing interest as of September 30, 2024 and December 31, 2023. These loans consist primarily of credit card accounts between 90 days and 179 days past due. As permitted by regulatory guidance issued by the FFIEC, we continue to accrue interest and fees on domestic credit card loans through the date of charge off, which is typically in the period the account becomes 180 days past due.

Table 24: 90+ Day Delinquent Loans Accruing Interest

						September 30, 2024												December 31, 2023
(Dollars in millions)						Amount						Rate(1)						Amount						Rate(1)
Loan category:
Credit card						$	3,456					2.21		%				$	3,499					2.26		%
Commercial banking						—						—						55						0.06
Total						$	3,456					1.08						$	3,554					1.11
Geographic region:
Domestic						$	3,316					1.06		%				$	3,422					1.09		%
International						140						1.93						132						1.91
Total						$	3,456					1.08						$	3,554					1.11

__________

(1)Delinquency rates are calculated by dividing delinquency amounts by period-end loans held for investment for each specified loan category.

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Nonperforming Loans and Nonperforming Assets

Nonperforming loans include loans that have been placed on nonaccrual status. Nonperforming assets consist of nonperforming loans, repossessed assets and other foreclosed assets. See “Part II—Item 8. Financial Statements and Supplementary Data—Note 1—Summary of Significant Accounting Policies” in our 2023 Form 10-K for information on our policies for classifying loans as nonperforming for each of our loan categories.

Table 25 presents our nonperforming loans, by portfolio segment, and other nonperforming assets as of September 30, 2024 and December 31, 2023. We do not classify loans held for sale as nonperforming. We provide additional information on our credit quality metrics in “Business Segment Financial Performance.”

Table 25: Nonperforming Loans and Other Nonperforming Assets(1)

						September 30, 2024												December 31, 2023
(Dollars in millions)						Amount						Rate						Amount						Rate
Nonperforming loans held for investment:(2)
Credit Card:
International card businesses						$	11					0.15		%				$	9					0.13		%
Total credit card						11						0.01						9						0.01
Consumer Banking:
Auto						685						0.91						712						0.96
Retail banking						27						2.19						46						3.36
Total consumer banking						712						0.93						758						1.00
Commercial Banking:
Commercial and multifamily real estate						630						1.96						425						1.23
Commercial and industrial						718						1.32						336						0.60
Total commercial banking						1,348						1.55						761						0.84
Total nonperforming loans held for investment(3)						2,071						0.65						1,528						0.48
Other nonperforming assets(4)						67						0.02						62						0.02
Total nonperforming assets						$	2,138					0.67						$	1,590					0.50

__________

(1)We recognized interest income for loans classified as nonperforming of $70 million and $47 million in the first nine months of 2024 and 2023, respectively.

(2)Nonperforming loan rates are calculated based on nonperforming loans for each category divided by period-end total loans held for investment for each respective category.

(3)Excluding the impact of domestic credit card loans, nonperforming loans as a percentage of total loans held for investment was 1.21% and 0.88% as of September 30, 2024 and December 31, 2023, respectively.

(4)The denominators used in calculating nonperforming asset rates consist of total loans held for investment and other nonperforming assets.

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Net Charge-Offs

Net charge-offs consist of the amortized cost basis, excluding accrued interest, of loans held for investment that we determine to be uncollectible, net of recovered amounts. We charge off loans as a reduction to the allowance for credit losses when we determine the loan is uncollectible and record subsequent recoveries of previously charged off amounts as increases to the allowance for credit losses. Uncollectible finance charges and fees are reversed through revenue and certain fraud losses are recorded in other non-interest expense. Generally, costs to recover charged off loans are recorded as collection expenses as incurred and are included in our consolidated statements of income as a component of other non-interest expense. Our charge-off policy for loans varies based on the loan type. See “Part II—Item 8. Financial Statements and Supplementary Data—Note 1—Summary of Significant Accounting Policies” in our 2023 Form 10-K for information on our charge-off policy for each of our loan categories.

Table 26 presents our net charge-off amounts and rates, by portfolio segment, in the third quarter and first nine months of 2024 and 2023.

Table 26: Net Charge-Offs

						Three Months Ended September 30,																								Nine Months Ended September 30,
						2024												2023												2024												2023
(Dollars in millions)						Amount						Rate(1)						Amount						Rate(1)						Amount						Rate(1)						Amount						Rate(1)
Credit Card:
Domestic credit card(2)						$	2,063					5.61		%				$	1,512					4.40		%				$	6,356					5.86		%				$	4,262					4.28		%
International card businesses						91						5.23						80						4.87						263						5.14						227						4.80
Total credit card						2,154						5.60						1,592						4.42						6,619						5.83						4,489						4.30
Consumer Banking:
Auto						384						2.05						335						1.77						1,086						1.95						898						1.57
Retail banking						17						5.43						14						3.80						48						4.94						37						3.33
Total consumer banking						401						2.11						349						1.81						1,134						2.00						935						1.60
Commercial Banking:
Commercial and multifamily real estate						20						0.26						24						0.27						47						0.19						404						1.46
Commercial and industrial						29						0.20						34						0.24						64						0.15						53						0.13
Total commercial banking						49						0.22						58						0.25						111						0.17						457						0.66
Total net charge-offs						$	2,604					3.27						$	1,999					2.56						$	7,864					3.32						$	5,881					2.53
Average loans held for investment						$	318,255											$	312,759											$	315,927											$	310,075

__________

(1)Net charge-off rates are calculated by dividing annualized net charge-offs by average loans held for investment for the period for each loan category.

(2)The Walmart Program Termination increased the Domestic Card net charge-off rate by 38 bps and 19 bps in the third quarter and nine months ended September 30, 2024, respectively.

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Financial Difficulty Modifications to Borrowers

A financial difficulty modification (“FDM”) occurs when a modification in the form of principal forgiveness, interest rate reduction, an other-than-insignificant payment delay, a term extension or a combination of these modifications is granted to a borrower experiencing financial difficulty.

As part of our loss mitigation efforts, we may provide short-term (one to twelve months) or long-term (greater than twelve months) modifications to a borrower experiencing financial difficulty to improve long-term collectability of the loan and to avoid the need for repossession or foreclosure of collateral.

We consider the impact of all loan modifications, including FDMs, when estimating the credit quality of our loan portfolio and establishing allowance levels. For our Commercial Banking customers, loan modifications are also considered in the assignment of an internal risk rating.

In our Credit Card business, the majority of our FDMs receive an interest rate reduction and are placed on a fixed payment plan not exceeding 60 months. If the customer does not comply with the modified payment terms, then the credit card loan agreement may revert to its original payment terms, generally resulting in any loan outstanding being reflected in the appropriate delinquency category and charged off in accordance with our standard charge-off policy.

In our Consumer Banking business, the majority of our FDMs receive an extension, an interest rate reduction, principal reduction, or a combination of these modifications.

In our Commercial Banking business, the majority of our FDMs receive an extension. A portion of FDMs receive an interest rate reduction, principal reduction, or a combination of modifications.

For more information on FDMs, see “Item 1. Financial Statements—Note 4—Loans.”

Allowance for Credit Losses and Reserve for Unfunded Lending Commitments

Our allowance for credit losses represents management’s current estimate of expected credit losses over the contractual terms of our loans held for investment as of each balance sheet date. Expected recoveries of amounts previously charged off or expected to be charged off are recognized within the allowance. We also estimate expected credit losses related to unfunded lending commitments that are not unconditionally cancellable. The provision for losses on unfunded lending commitments is included in the provision for credit losses in our consolidated statements of income and the related reserve for unfunded lending commitments is included in other liabilities on our consolidated balance sheets. We provide additional information on the methodologies and key assumptions used in determining our allowance for credit losses in “Part II—Item 8.Financial Statements and Supplementary Data—Note 1—Summary of Significant Accounting Policies” in our 2023 Form 10-K.

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Table 27 presents changes in our allowance for credit losses and reserve for unfunded lending commitments for the third quarter and first nine months of 2024 and 2023, and details by portfolio segment for the provision for credit losses, charge-offs and recoveries.

Table 27: Allowance for Credit Losses and Reserve for Unfunded Lending Commitments Activity

						Three Months Ended September 30, 2024
						Credit Card																		Consumer Banking
(Dollars in millions)						Domestic Card						International Card Businesses						Total Credit Card						Auto						Retail Banking						Total Consumer Banking						Commercial Banking						Total
Allowance for credit losses:
Balance as of June 30, 2024						$	12,560					$	480					$	13,040					$	2,037					$	28					$	2,065					$	1,544					$	16,649
Charge-offs						(2,501)						(131)						(2,632)						(684)						(23)						(707)						(88)						(3,427)
Recoveries(1)						438						40						478						300						6						306						39						823
Net charge-offs						(2,063)						(91)						(2,154)						(384)						(17)						(401)						(49)						(2,604)
Provision for credit losses						1,997						87						2,084						335						16						351						35						2,470
Allowance release for credit losses						(66)						(4)						(70)						(49)						(1)						(50)						(14)						(134)
Other changes(2)						—						19						19						—						—						—						—						19
Balance as of September 30, 2024						12,494						495						12,989						1,988						27						2,015						1,530						16,534
Reserve for unfunded lending commitments:
Balance as of June 30, 2024						—						—						—						—						—						—						129						129
Provision for losses on unfunded lending commitments						—						—						—						—						—						—						13						13
Balance as of September 30, 2024						—						—						—						—						—						—						142						142
Combined allowance and reserve as of September 30, 2024						$	12,494					$	495					$	12,989					$	1,988					$	27					$	2,015					$	1,672					$	16,676

						Nine Months Ended September 30, 2024
						Credit Card																		Consumer Banking
(Dollars in millions)						Domestic Card						International Card Businesses						Total Credit Card						Auto						Retail Banking						Total Consumer Banking						Commercial Banking						Total
Allowance for credit losses:
Balance as of December 31, 2023						$	11,261					$	448					$	11,709					$	2,002					$	40					$	2,042					$	1,545					$	15,296
Charge-offs						(7,509)						(383)						(7,892)						(1,941)						(62)						(2,003)						(166)						(10,061)
Recoveries(1)						1,153						120						1,273						855						14						869						55						2,197
Net charge-offs						(6,356)						(263)						(6,619)						(1,086)						(48)						(1,134)						(111)						(7,864)
Provision for credit losses						7,589						299						7,888						1,072						35						1,107						96						9,091
Allowance build (release) for credit losses(3)						1,233						36						1,269						(14)						(13)						(27)						(15)						1,227
Other changes(2)						—						11						11						—						—						—						—						11
Balance as of September 30, 2024						12,494						495						12,989						1,988						27						2,015						1,530						16,534
Reserve for unfunded lending commitments:
Balance as of December 31, 2023						—						—						—						—						—						—						158						158
Provision (benefit) for losses on unfunded lending commitments						—						—						—						—						—						—						(16)						(16)
Balance as of September 30, 2024						—						—						—						—						—						—						142						142
Combined allowance and reserve as of September 30, 2024						$	12,494					$	495					$	12,989					$	1,988					$	27					$	2,015					$	1,672					$	16,676

			53			Capital One Financial Corporation (COF)

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						Three Months Ended September 30, 2023
						Credit Card																		Consumer Banking
(Dollars in millions)						Domestic Card						International Card Businesses						Total Credit Card						Auto						Retail Banking						Total Consumer Banking						Commercial Banking						Total
Allowance for credit losses:
Balance as of June 30, 2023						$	10,576					$	400					$	10,976					$	2,150					$	35					$	2,185					$	1,485					$	14,646
Charge-offs						(1,811)						(114)						(1,925)						(579)						(17)						(596)						(60)						(2,581)
Recoveries(1)						299						34						333						244						3						247						2						582
Net charge-offs						(1,512)						(80)						(1,592)						(335)						(14)						(349)						(58)						(1,999)
Provision for credit losses						1,861						92						1,953						198						15						213						155						2,321
Allowance build (release) for credit losses						349						12						361						(137)						1						(136)						97						322
Other changes(2)						—						(13)						(13)						—						—						—						—						(13)
Balance as of September 30, 2023						10,925						399						11,324						2,013						36						2,049						1,582						14,955
Reserve for unfunded lending commitments:
Balance as of June 30, 2023						—						—						—						—						—						—						197						197
Provision (benefit) for losses on unfunded lending commitments						—						—						—						—						—						—						(39)						(39)
Balance as of September 30, 2023						—						—						—						—						—						—						158						158
Combined allowance and reserve as of September 30, 2023						$	10,925					$	399					$	11,324					$	2,013					$	36					$	2,049					$	1,740					$	15,113

						Nine Months Ended September 30, 2023
						Credit Card																		Consumer Banking
(Dollars in millions)						Domestic Card						International Card Businesses						Total Credit Card						Auto						Retail Banking						Total Consumer Banking						Commercial Banking						Total
Allowance for credit losses:
Balance as of December 31, 2022						$	9,165					$	380					$	9,545					$	2,187					$	50					$	2,237					$	1,458					$	13,240
Cumulative effects of accounting standards adoption(4)						(40)						(23)						(63)						—						—						—						—						(63)
Balance as of January 1, 2023						9,125						357						9,482						2,187						50						2,237						1,458						13,177
Charge-offs						(5,156)						(325)						(5,481)						(1,602)						(51)						(1,653)						(462)						(7,596)
Recoveries(1)						894						98						992						704						14						718						5						1,715
Net charge-offs						(4,262)						(227)						(4,489)						(898)						(37)						(935)						(457)						(5,881)
Provision for credit losses						6,030						268						6,298						724						23						747						581						7,626
Allowance build (release) for credit losses						1,768						41						1,809						(174)						(14)						(188)						124						1,745
Other changes(2)						32						1						33						—						—						—						—						33
Balance as of September 30, 2023						10,925						399						11,324						2,013						36						2,049						1,582						14,955
Reserve for unfunded lending commitments:
Balance as of December 31, 2022						—						—						—						—						—						—						218						218
Provision (benefit) for losses on unfunded lending commitments						—						—						—						—						—						—						(60)						(60)
Balance as of September 30, 2023						—						—						—						—						—						—						158						158
Combined allowance and reserve as of September 30, 2023						$	10,925					$	399					$	11,324					$	2,013					$	36					$	2,049					$	1,740					$	15,113

________

(1)The amount and timing of recoveries are impacted by our collection strategies, which are based on customer behavior and risk profile and include direct customer communications, repossession of collateral, the periodic sale of charged off loans as well as additional strategies, such as litigation.

(2)Primarily represents foreign currency translation adjustments in the three and nine months ended September 30, 2024 as well as the three months ended September 30, 2023. Primarily represents the initial allowance for purchased credit-deteriorated (“PCD”) loans in the nine months ended September 30, 2023. The initial allowance of PCD loans was $0 million and $32 million for the nine months ended September 30, 2024 and 2023, respectively.

(3)The Walmart Program Termination resulted in an allowance for credit losses build in Domestic Card of $826 million in the second quarter of 2024.

(4)Impact from the adoption of ASU No. 2022-02, Financial Instruments - Credit Losses (Topic 326): Troubled Debt Restructurings (“TDR”) and Vintage Disclosures as of January 1, 2023.

			54			Capital One Financial Corporation (COF)

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LIQUIDITY RISK PROFILE

We manage our funding and liquidity risk in an integrated manner in support of the current and future cash flow needs of our business. We maintained liquidity reserves of $131.6 billion and $120.7 billion as of September 30, 2024 and December 31, 2023, respectively, as shown in Table 28 below. Included in liquidity reserves are cash and cash equivalents, investment securities and FHLB borrowing capacity secured by loans.

As of September 30, 2024, we had available issuance capacity of $41.0 billion under shelf registrations associated with our credit card and auto loan securitization programs. We also maintain a shelf registration that enables us to issue an indeterminate amount of senior or subordinated debt securities, preferred stock, depositary shares, common stock, purchase contracts, warrants and units. Our ability to issue under each shelf registration is subject to market conditions.

Finally, as of September 30, 2024, we had access to available contingent liquidity sources totaling $105.8 billion through the prepositioning of collateral, including a portion of the investment securities included in the liquidity reserve amount, at the Federal Reserve Discount Window, the Standing Repo Facility, FHLB and the Fixed Income Clearing Corporation—Government Securities Division (“FICC—GSD”).

As of September 30, 2024 and December 31, 2023, our funding sources totaled $403.0 billion and $398.3 billion, respectively, primarily composed of consumer deposits, as shown in “Consolidated Balance Sheets Analysis—Funding Sources Composition.”

Our liquidity reserves, borrowing capacity, contingent liquidity sources and total funding sources are all discussed in more detail in the following sections.

Table 28 below presents the composition of our liquidity reserves as of September 30, 2024 and December 31, 2023.

Table 28: Liquidity Reserves

(Dollars in millions)						September 30, 2024						December 31, 2023
Cash and cash equivalents						$	49,298					$	43,297
Securities available for sale(1)						83,500						79,117
FHLB borrowing capacity secured by loans						4,818						5,205
Outstanding FHLB advances and letters of credit secured by loans and investment securities						(48)						(50)
Other encumbrances of investment securities						(5,946)						(6,917)
Total liquidity reserves						$	131,622					$	120,652

________

(1)    Includes securities that have been pledged or otherwise encumbered within the above Liquidity Reserves line items “Outstanding FHLB advances and letters of credit secured by loans and investment securities” and “Other encumbrances of investment securities.”

Our liquidity reserves increased by $11.0 billion to $131.6 billion as of September 30, 2024 from December 31, 2023, primarily due to increases in cash and cash equivalents. In addition to these liquidity reserves, we maintain access to a diversified mix of funding sources as discussed in the “Borrowing Capacity” and “Funding” sections below. See “Part II—Item 7. MD&A—Risk Management” in our 2023 Form 10-K for additional information on our management of liquidity risk.

Liquidity Coverage Ratio

We are subject to the final rules published by the Basel Committee and as implemented by the Federal Reserve and the OCC for the Basel III Liquidity Coverage Ratio (“LCR”) in the United States (the “LCR Rule”). The LCR Rule requires each of the Company and the Bank to calculate its respective LCR daily. It also requires the Company to publicly disclose, on a quarterly basis, its LCR, certain related quantitative liquidity metrics, and a qualitative discussion of its LCR. Our average LCR during the third quarter of 2024 was 163%, which exceeded the LCR Rule requirement of 100%. The calculation and the underlying components are based on our interpretations, expectations and assumptions of relevant regulations, as well as interpretations provided by our regulators, and are subject to change based on changes to future regulations and interpretations. See “Part I—Item 1. Business—Supervision and Regulation” in our 2023 Form 10-K for additional information.

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Net Stable Funding Ratio

We are subject to the final rules published by the Basel Committee and as implemented by the Federal Reserve and the OCC for the Basel III Net Stable Funding Ratio (“NSFR”) in the United States (the “NSFR Rule”). The NSFR Rule requires each of the Company and the Bank to maintain an NSFR of 100% on an ongoing basis. It also requires the Company to publicly disclose, on a semi-annual basis each second and fourth quarter, its NSFR, certain related quantitative liquidity metrics and qualitative discussion of its NSFR. Our average NSFR for the third quarter of 2024 exceeded the NSFR Rule requirement of 100%. The calculation and the underlying components are based on our interpretations, expectations and assumptions of the relevant regulations, as well as interpretations provided by our regulators, and are subject to change based on changes to future regulations and interpretations. See “Part I—Item 1. Business—Supervision and Regulation” in our 2023 Form 10-K for additional information.

Borrowing Capacity

We maintain a shelf registration with the U.S. Securities and Exchange Commission (“SEC”) so that we may periodically offer and sell an indeterminate aggregate amount of senior or subordinated debt securities, preferred stock, depositary shares, common stock, purchase contracts, warrants and units. There is no limit under this shelf registration to the amount or number of such securities that we may offer and sell, subject to market conditions. In addition, we also maintain a shelf registration associated with our credit card securitization trust that allows us to periodically offer and sell up to $30.0 billion of securitized debt obligations and a shelf registration associated with our auto loan securitization trusts that allows us to periodically offer and sell up to $25.0 billion of securitized debt obligations. The registered amounts under these shelf registration statements are subject to continuing review and change in the future, including as part of the routine renewal process. As of September 30, 2024, we had $21.6 billion and $19.4 billion of available issuance capacity in our credit card and auto loan securitization programs, respectively.

In addition to our issuance capacity under the shelf registration statements, we also have collateral pledged to support our access to FHLB advances, the Federal Reserve Discount Window, the Standing Repo Facility and FICC—GSD general collateral financing repurchase agreement service. For each of these programs, the ability to borrow utilizing these sources is dependent on meeting the respective membership requirements. Our borrowing capacity in each program is a function of the collateral the Bank has posted with each counterparty, including any respective haircuts applied to that collateral.

As of September 30, 2024, we pledged loans and securities to the FHLB to secure a maximum borrowing capacity of $37.0 billion, of which $48 million was used. Our FHLB membership is supported by our investment in FHLB stock of $18 million as of both September 30, 2024 and December 31, 2023.

As a member of FICC—GSD, we had $21.9 billion of readily available borrowing capacity secured by securities from our investment portfolio as of September 30, 2024. Our FICC—GSD membership is supported by our investment in Depository Trust and Clearing Corporation (“DTCC”) common stock of $412 thousand and $375 thousand as of September 30, 2024 and December 31, 2023, respectively.

As of September 30, 2024, we pledged loans to secure a borrowing capacity of $46.9 billion under the Federal Reserve Discount Window. Our membership with the Federal Reserve is supported by our investment in Federal Reserve stock, which totaled $1.3 billion as of both September 30, 2024 and December 31, 2023.

			56			Capital One Financial Corporation (COF)

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Deposits

Table 29 provides a comparison of average balances, interest expense and average deposits interest rates for the third quarter and first nine months of 2024 and 2023.

Table 29: Deposits Composition and Average Deposits Interest Rates

						Three Months Ended September 30,
						2024																		2023
(Dollars in millions)						Average Balance						Interest Expense						Average Deposits Interest Rate						Average Balance						Interest Expense						Average Deposits Interest Rate
Interest-bearing checking accounts(1)						$	33,936					$	135					1.59		%				$	40,833					$	215					2.10		%
Saving deposits(2)						211,608						1,825						3.45						196,030						1,479						3.02
Time deposits						78,965						985						4.99						79,169						917						4.64
Total interest-bearing deposits						$	324,509					$	2,945					3.63						$	316,032					$	2,611					3.30

						Nine Months Ended September 30,
						2024																		2023
(Dollars in millions)						Average Balance						Interest Expense						Average Deposits Interest Rate						Average Balance						Interest Expense						Average Deposits Interest Rate
Interest-bearing checking accounts(1)						$	34,829					$	421					1.61		%				$	42,855					$	620					1.93		%
Saving deposits(2)						209,030						5,299						3.38						197,819						3,762						2.54
Time deposits						77,997						2,911						4.98						72,028						2,362						4.37
Total interest-bearing deposits						$	321,856					$	8,631					3.58						$	312,702					$	6,744					2.88

__________

(1)Includes negotiable order of withdrawal accounts.

(2)Includes money market deposit accounts.

The FDIC limits the acceptance of brokered deposits to well-capitalized insured depository institutions and, with a waiver from the FDIC, to adequately-capitalized institutions. The Bank was well-capitalized, as defined under the federal banking regulatory guidelines, as of both September 30, 2024 and December 31, 2023. See “Part I—Item 1. Business—Supervision and Regulation” in our 2023 Form 10-K for additional information. We provide additional information on the composition of deposits in “Consolidated Balance Sheets Analysis—Funding Sources Composition” and in “Part I—Item 1. Financial Statements—Note 8—Deposits and Borrowings.”

Funding

Our primary source of funding comes from insured retail deposits, as they are a relatively stable and lower cost source of funding. In addition to deposits, we raise funding through the issuance of senior and subordinated notes and securitized debt obligations, federal funds purchased, securities loaned or sold under agreements to repurchase and FHLB advances secured by certain portions of our loan and securities portfolios. A key objective in our use of these markets is to maintain access to a diversified mix of wholesale funding sources. See “Consolidated Balance Sheets Analysis—Funding Sources Composition” for additional information on our primary sources of funding.

In the normal course of business, we enter into various contractual obligations that may require future cash payments that affect our short-term and long-term liquidity and capital resource needs. Our future cash outflows primarily relate to deposits, borrowings and operating leases. The actual timing and amounts of future cash payments may vary over time due to a number of factors, such as early debt redemptions and changes in deposit balances.

			57			Capital One Financial Corporation (COF)

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Short-Term Borrowings and Long-Term Debt

We access the capital markets to meet our funding needs through the issuance of senior and subordinated notes, securitized debt obligations and federal funds purchased and securities loaned or sold under agreements to repurchase. In addition, we have access to short-term and long-term FHLB advances secured by certain investment securities, multifamily real estate loans and commercial real estate loans.

Our short-term borrowings, which include those borrowings with an original contractual maturity of one year or less, typically consist of federal funds purchased, securities loaned or sold under agreements to repurchase or short-term FHLB advances, and do not include the current portion of long-term debt. Our short-term borrowings decreased by $18 million to $520 million as of September 30, 2024 from December 31, 2023 driven by a decrease in repurchase agreements.

Our long-term funding, which primarily consists of securitized debt obligations and senior and subordinated notes, decreased by $502 million to $48.8 billion as of September 30, 2024 from December 31, 2023 primarily driven by net maturities and paydowns of securitized debt obligations, partially offset by net issuances of unsecured senior debt. We provide more information on our securitization activity in “Part I—Item 1. Financial Statements—Note 6—Variable Interest Entities and Securitizations” and on our borrowings in “Part I—Item 1. Financial Statements—Note 8—Deposits and Borrowings.”

The following table summarizes issuances of securitized debt obligations, and senior and subordinated notes, and their respective maturities or redemptions for the third quarter and first nine months of 2024 and 2023.

Table 30: Long-Term Debt Funding Activities

						Issuances												Maturities/Redemptions
						Three Months Ended September 30,												Three Months Ended September 30,
(Dollars in millions)						2024						2023												2024						2023
Securitized debt obligations						$	1,000					$	—											$	2,622					$	452
Senior and subordinated notes						2,000						—												—						—
Total						$	3,000					$	—											$	2,622					$	452

						Issuances												Maturities/Redemptions
						Nine Months Ended September 30,												Nine Months Ended September 30,
(Dollars in millions)						2024						2023												2024						2023
Securitized debt obligations						$	1,000					$	2,450											$	3,434					$	2,003
Senior and subordinated notes						4,000						5,750												2,911						4,886
Total						$	5,000					$	8,200											$	6,345					$	6,889

			58			Capital One Financial Corporation (COF)

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Credit Ratings

Our credit ratings impact our ability to access capital markets and our borrowing costs. For more information, see “Part I—Item 1A. Risk Factors” under the heading in our 2023 Form 10-K “A downgrade in our credit ratings could significantly impact our liquidity, funding costs and access to the capital markets.”

Table 31 provides a summary of the credit ratings for the senior unsecured long-term debt of Capital One Financial Corporation and CONA as of September 30, 2024 and December 31, 2023.

Table 31: Senior Unsecured Long-Term Debt Credit Ratings

September 30, 2024

December 31, 2023

Capital One Financial Corporation

CONA

Capital One Financial Corporation

CONA

Moody’s

Baa1

A3

Baa1

A3

S&P

BBB

BBB+

BBB

BBB+

Fitch

A-

A

A-

A

As of October 25, 2024 Standard & Poor’s (“S&P”) and Fitch Ratings (“Fitch”) have our credit ratings on a stable outlook. Following the Company’s February 19, 2024 announcement to acquire Discover, Moody’s Investors Service (“Moody’s”) placed our credit ratings on review for a downgrade. Moody’s said its review for downgrade may continue until the transaction has been completed.

Other Commitments

In the normal course of business, we enter into other contractual obligations that may require future cash payments that affect our short-term and long-term liquidity and capital resource needs. Our other contractual obligations include lending commitments, leases, purchase obligations and other contractual arrangements.

As of September 30, 2024 and December 31, 2023, our total unfunded lending commitments were $458.9 billion and $441.3 billion, respectively, primarily consisting of credit card lines and loan commitments to customers of both our Commercial Banking and Consumer Banking businesses, as well as standby and commercial letters of credit. We generally manage the potential risk of unfunded lending commitments by limiting the total amount of arrangements, monitoring the size and maturity structure of these portfolios and applying the same credit standards for all of our credit activities. For additional information, refer to “Part I—Item 1. Financial Statements—Note 14—Commitments, Contingencies, Guarantees and Others” in this Report.

Our primary involvement with leases is in the capacity as a lessee where we lease premises to support our business. The majority of our leases are operating leases of office space, retail bank branches and cafés. Our operating leases expire at various dates through 2071, although some have extension or termination options. As of both September 30, 2024 and December 31, 2023, we had $1.5 billion, in aggregate operating lease obligations. We provide more information on our lease activity in “Part II—Item 8. Financial Statements and Supplementary Data—Note 7—Premises, Equipment and Leases” in our 2023 Form 10-K.

We have purchase obligations that represent substantial agreements to purchase goods or receive services such as data management, media and other software and third-party services that are enforceable and legally binding and specify significant terms. As of September 30, 2024 and December 31, 2023, we had $3.8 billion and $789 million, respectively, in aggregate purchase obligations. This increase is mainly due to recently renewed commitments for certain long term purchase obligations for goods and services.

We also enter into various contractual arrangements that may require future cash payments, including short-term obligations such as trade payables, commitments to fund certain equity investments, obligations for pension and post-retirement benefit plans, and representation and warranty reserves. These arrangements are discussed in more detail in “Part I—Item 1. Financial Statements—Note 6—Variable Interest Entities and Securitizations,” and “Part I—Item 1. Financial Statements—Note 14—Commitments, Contingencies, Guarantees and Others” in this Report and “Part II—Item 8. Financial Statements and Supplementary Data—Note 14—Employee Benefit Plans” in our 2023 Form 10-K.

			59			Capital One Financial Corporation (COF)

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MARKET RISK PROFILE

Our primary market risk exposures include interest rate risk, foreign exchange risk and commodity pricing risk. We are exposed to market risk primarily from the following operations and activities:

•Traditional banking activities of deposit gathering and lending;

•Asset/liability management activities including the management of investment securities, short-term and long-term borrowings and derivatives;

•Foreign operations in the U.K. and Canada within our Credit Card business; and

•Customer accommodation activities within our Commercial Banking business.

We have enterprise-wide risk management policies and limits, approved by our Board of Directors, which govern our market risk management activities. Our objective is to manage our exposure to market risk in accordance with these policies and limits based on prevailing market conditions and long-term expectations. We provide additional information below about our primary sources of market risk, our market risk management strategies and the measures that we use to evaluate these exposures.

Interest Rate Risk

Interest rate risk represents exposure to financial instruments whose values vary with the level or volatility of interest rates. We are exposed to interest rate risk primarily from the differences in the timing between the maturities or repricing of assets and liabilities. We manage our interest rate risk primarily by entering into interest rate swaps and other derivative instruments which could include caps, floors, options, futures and forward contracts.

We use various industry standard market risk measurement techniques and analyses to measure, assess and manage the impact of changes in interest rates on our net interest income and our economic value of equity and changes in foreign exchange rates on our non-dollar-denominated funding and non-dollar equity investments in foreign operations.

Net Interest Income Sensitivity

Our net interest income sensitivity measure estimates the impact of hypothetical instantaneous movements in interest rates relative to our baseline interest rate forecast on our projected 12-month net interest income. Net interest income sensitivity metrics are derived using the following key assumptions:

•As of September 30, 2024, our metrics assume a market implied baseline interest rate projection for the upper limit of the Federal Funds Target Rate of 4.25% and 3.00% at December 31, 2024 and December 31, 2025, respectively.

•In addition to our existing assets, liabilities and derivative positions, we incorporate expected future business growth assumptions. These assumptions include loan and deposit growth, pricing, plans for projected changes in our funding mix and our securities and cash position from our internal corporate outlook that is used in our financial planning process.

•The analysis assumes this forecast of expected future business growth remains unchanged between the baseline rate forecast and rate shock scenarios, including no changes to our interest rate risk management activities like securities and hedging actions.

•We incorporate the dynamic nature of deposit re-pricing, which includes pricing lags and changes in deposit beta and mix as interest rates change, and the prepayment sensitivity of our mortgage securities to the level of interest rates. In our models, deposit betas and mortgage security prepayments vary dynamically based on the level of interest rates and by product type. In the contexts used in this section, “beta” refers to the change in deposit rate paid relative to the change in the federal funds rate.

•In instances where an interest rate scenario would result in a rate less than 0%, we assume a rate of 0% for that scenario. This assumption applies only to jurisdictions that do not have a practice of employing negative policy rates. In jurisdictions that have negative policy rates, we do not floor interest rates at 0%.

			60			Capital One Financial Corporation (COF)

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At the current level of interest rates, our projected 12-month net interest income is expected to increase in higher rate scenarios and decrease in lower rate scenarios. The decrease in lower rate scenarios is driven by lower interest income from our assets, including floating rate credit card and commercial loans, being partially offset by lower interest expense from our deposits and other liabilities, net of our interest rate hedges. Our 12-month net interest income sensitivity increased modestly for the +/- 200 bps scenarios, while the remaining scenarios were largely unchanged as compared to December 31, 2023. Increased net interest income sensitivity to large rate shocks is mainly driven by lower interest rates.

Economic Value of Equity Sensitivity

Our economic value of equity sensitivity measure estimates the impact of hypothetical instantaneous movements in interest rates on the net present value of our assets and liabilities, including derivative exposures. Economic value of equity sensitivity metrics are derived using the following key assumptions:

•As of September 30, 2024, our metrics assume a market implied baseline interest rate projection for the upper limit of the Federal Funds Target Rate of 4.25% and 3.00% at December 31, 2024 and December 31, 2025, respectively.

•The analysis includes only existing assets, liabilities and derivative positions and does not incorporate business growth assumptions or projected balance sheet changes.

•Similar to our net interest income sensitivity measure, we incorporate the dynamic nature of deposit repricing and attrition, which includes pricing lags and changes in deposit beta as interest rates change and the prepayment sensitivity of our mortgage securities to the level of interest rates. In our models, deposit betas and mortgage security prepayments vary dynamically based on the level of interest rates and by product type.

•Balance attrition assumptions for loans, including credit card, auto and commercial loans, remain unchanged between the baseline interest rate forecast and interest rate shock scenarios as those loans are mainly floating rate or shorter duration fixed rate loans and hence paydowns have a low sensitivity to the level of interest rates.

•For assets and liabilities with embedded optionality, such as mortgage securities and deposit balances, we utilize monte carlo simulations to assess economic value with industry-standard term structure modeling of interest rates.

•Our calculations of net present value apply appropriate spreads over the benchmark yield curve for select assets and liabilities to capture the inherent risks (including credit risk) to discount expected interest and principal cash flows.

•In instances where an interest rate scenario would result in a rate less than 0%, we assume a rate of 0% for that scenario. This assumption applies only to jurisdictions that do not have a practice of employing negative policy rates. In jurisdictions that have negative policy rates, we do not floor interest rates at 0%.

Our current economic value of equity sensitivity profile demonstrates that our economic value of equity decreases in higher interest rate scenarios and increases in lower interest rate scenarios. The decrease in higher rate scenarios is due to the declines in the projected value of our fixed rate assets being only partially offset by corresponding movements in the projected value of our deposits and other liabilities. The pace of economic value of equity decrease is larger for the +200 bps scenario as our deposits are assumed to reprice more rapidly in higher interest rate environments. Our current economic value of equity sensitivity decreased modestly in both higher and lower rate scenarios as compared to December 31, 2023. The decrease in economic value of equity sensitivity is driven by lower interest rates.

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Table 32 shows the estimated percentage impact on our projected baseline net interest income and our current economic value of equity calculated under the methodology described above as of September 30, 2024 and December 31, 2023.

Table 32: Interest Rate Sensitivity Analysis

						September 30, 2024						December 31, 2023
Estimated impact on projected baseline net interest income:
+200 basis points						1.2		%				0.7		%
+100 basis points						0.9						0.8
+50 basis points						0.5						0.4
–50 basis points						(0.5)						(0.5)
–100 basis points						(1.0)						(0.9)
–200 basis points						(2.6)						(2.0)
Estimated impact on economic value of equity:
+200 basis points						(7.0)						(8.4)
+100 basis points						(3.0)						(3.7)
+50 basis points						(1.5)						(1.8)
–50 basis points						1.2						1.6
–100 basis points						2.2						2.9
–200 basis points						2.4						4.0

In addition to these industry standard measures, we also consider the potential impact of alternative interest rate scenarios, such as larger rate shocks, higher than +/- 200 bps, as well as steepening and flattening yield curve scenarios in our internal interest rate risk management decisions. We also regularly review the sensitivity of our interest rate risk metrics to changes in our key modeling assumptions, such as our loan and deposit balance forecasts, mortgage prepayments and deposit repricing.

Limitations of Market Risk Measures

The interest rate risk models that we use in deriving these measures incorporate contractual information, internally-developed assumptions and proprietary modeling methodologies, which project borrower and depositor behavior patterns in certain interest rate environments. Other market inputs, such as interest rates, market prices and interest rate volatility, are also critical components of our interest rate risk measures. We regularly evaluate, update and enhance these assumptions, models and analytical tools as we believe appropriate to reflect our best assessment of the market environment and the expected behavior patterns of our existing assets and liabilities.

There are inherent limitations in any methodology used to estimate the exposure to changes in market interest rates. The sensitivity analysis described above contemplates only certain movements in interest rates and is performed at a particular point in time based on our existing balance sheet and, in some cases, expected future business growth and funding mix assumptions. The strategic actions that management may take to manage our balance sheet may differ significantly from our projections, which could cause our actual earnings and economic value of equity sensitivities to differ substantially from the above sensitivity analysis.

For further information on our interest rate exposures, see “Part I—Item 1. Financial Statements—Note 9—Derivative Instruments and Hedging Activities.”

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Foreign Exchange Risk

Foreign exchange risk represents exposure to changes in the values of current holdings and future cash flows denominated in other currencies. We are exposed to foreign exchange risk primarily from the intercompany funding denominated in pound sterling (“GBP”) and the Canadian dollar (“CAD”) that we provide to our businesses in the U.K. and Canada and net equity investments in those businesses. We are also exposed to foreign exchange risk due to changes in the dollar-denominated value of future earnings and cash flows from our foreign operations and from our Euro (“EUR”)-denominated borrowings.

Our non-dollar denominated intercompany funding and EUR-denominated borrowings expose our earnings to foreign exchange transaction risk. We manage these transaction risks by using forward foreign currency derivatives and cross-currency swaps to hedge our exposures. We measure our foreign exchange transaction risk exposures by applying a 1% U.S. dollar appreciation shock against the value of the non-dollar denominated intercompany funding and EUR-denominated borrowings and their related hedges, which shows the impact to our earnings from foreign exchange risk. Our nominal intercompany funding outstanding was 1.2 billion GBP and 973 million GBP as of September 30, 2024 and December 31, 2023, respectively, and 1.4 billion CAD and 1.6 billion CAD as of September 30, 2024 and December 31, 2023, respectively. Our nominal EUR-denominated borrowings outstanding were 502 million EUR and 1.3 billion EUR as of September 30, 2024 and December 31, 2023, respectively.

Our non-dollar equity investments in foreign operations expose our balance sheet and capital ratios to translation risk in AOCI. We manage our translation risk by entering into foreign currency derivatives designated as net investment hedges. We measure these exposures by applying a 30% U.S. dollar appreciation shock, which we believe approximates a significant adverse shock over a one-year time horizon, against the value of the equity invested in our foreign operations net of related net investment hedges where applicable. Our gross equity exposures in our U.K. and Canadian operations were 2.2 billion GBP as of both September 30, 2024 and December 31, 2023, and 2.5 billion CAD and 2.4 billion CAD as of September 30, 2024 and December 31, 2023, respectively.

As a result of our derivative management activities, we believe our net exposure to foreign exchange risk is minimal. For more information, see “Part I—Item 1. Financial Statements—Note 9—Derivative Instruments and Hedging Activities” and “Part I—Item 1. Financial Statements—Note 10—Stockholders’ Equity.”

Risk related to Customer Accommodation Derivatives

We offer interest rate, commodity and foreign currency derivatives as an accommodation to our customers within our Commercial Banking business. We offset the majority of the market risk of these customer accommodation derivatives by entering into offsetting derivatives transactions with other counterparties. We use value-at-risk (“VaR”) as the primary method to measure the market risk in our customer accommodation derivative activities on a daily basis. VaR is a statistical risk measure used to estimate the potential loss from movements observed in the recent market environment. We employ a historical simulation approach using the most recent 500 business days and use a 99% confidence level and a holding period of one business day. As a result of offsetting our customer exposures with other counterparties, we believe that our net exposure to market risk in our customer accommodation derivatives is minimal. For further information on our risk related to customer accommodation derivatives, see “Part I—Item 1. Financial Statements—Note 9—Derivative Instruments and Hedging Activities.”

SUPERVISION AND REGULATION

We provide information on our Supervision and Regulation in our 2023 Form 10-K under “Part I—Item 1. Business—Supervision and Regulation” and in our Quarterly Reports on Form 10-Q for the period ended March 31, 2024 and June 30, 2024 under “Part I—Item 2. MD&A—Supervision and Regulation.”

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FORWARD-LOOKING STATEMENTS

From time to time, we have made and will make forward-looking statements, including those that discuss, among other things: strategies, goals, outlook or other non-historical matters; projections, revenues, income, returns, expenses, assets, liabilities, capital and liquidity measures, capital allocation plans, accruals for claims in litigation and for other claims against us; earnings per share, efficiency ratio, operating efficiency ratio or other financial measures for us; future financial and operating results; our plans, objectives, expectations and intentions; and the assumptions that underlie these matters.

To the extent that any such information is forward-looking, it is intended to fit within the safe harbor for forward-looking information provided by the Private Securities Litigation Reform Act of 1995.

Forward-looking statements often use words such as “will,” “anticipate,” “target,” “expect,” “think,” “estimate,” “intend,” “plan,” “goal,” “believe,” “forecast,” “outlook” or other words of similar meaning. Any forward-looking statements made by us or on our behalf speak only as of the date they are made or as of the date indicated, and we do not undertake any obligation to update forward-looking statements as a result of new information, future events or otherwise. For additional information on factors that could materially influence forward-looking statements included in this Report, see the risk factors set forth under “Part I—Item 1A. Risk Factors” in our 2023 Form 10-K. You should carefully consider the factors discussed below, and in our Risk Factors or other disclosures, in evaluating these forward-looking statements.

Numerous factors could cause our actual results to differ materially from those described in such forward-looking statements, including, among other things:

•risks relating to the pending Transaction, including the risk that the cost savings and any revenue synergies and other anticipated benefits from the Transaction may not be fully realized or may take longer than anticipated to be realized; disruption to our business and to Discover’s business as a result of the announcement and pendency of the Transaction; the risk that the integration of Discover’s business and operations into ours, including into our compliance management program, will be materially delayed or will be more costly or difficult than expected, or that we are otherwise unable to successfully integrate Discover’s business into ours, including as a result of unexpected factors or events; the possibility that the requisite regulatory, stockholder or other approvals are not received or other conditions to the closing are not satisfied on a timely basis or at all, or are obtained subject to conditions that are not anticipated (and the risk that requisite regulatory approvals may result in the imposition of conditions that could adversely affect us or the expected benefits of the Transaction following the closing of the Transaction); reputational risk and the reaction of customers, suppliers, employees or other business partners of ours or of Discover to the Transaction; the failure of the closing conditions in the Merger Agreement to be satisfied, or any unexpected delay in completing the Transaction or the occurrence of any event, change or other circumstances that could give rise to the termination of the Merger Agreement; the dilution caused by our issuance of additional shares of our common stock in connection with the Transaction; the possibility that the Transaction may be more expensive to complete than anticipated, including as a result of unexpected factors or events; risks related to management and oversight of our expanded business and operations following the Transaction due to the increased size and complexity of our business; the possibility of increased scrutiny by, and/or additional regulatory requirements of, governmental authorities as a result of the Transaction or the size, scope and complexity of our business operations following the Transaction; the outcome of any legal or regulatory proceedings that may be currently pending or later instituted against us (before or after the Transaction) or against Discover; the risk that expectations regarding the timing, completion and accounting and tax treatments of the Transaction are not met; the risk that any announcements relating to the Transaction could have adverse effects on the market price of our common stock; certain restrictions during the pendency of the Transaction; the diversion of management’s attention from ongoing business operations and opportunities; the risk that revenues following the Transaction may be lower than expected and/or the risk that certain expenses, such as the provision for credit losses, of Discover or the surviving entity may be greater than expected; our and Discover’s success in executing their respective business plans and strategies and managing the risks involved in the foregoing; effects of the announcement, pendency or completion of the Transaction on our or Discover’s ability to retain customers and retain and hire key personnel and maintain relationships with our and Discover’s suppliers and other business partners, and on our and Discover’s operating results and businesses generally; and other factors that may affect our future results or the future results of Discover;

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•changes and instability in the macroeconomic environment, resulting from factors that include, but are not limited to monetary policy actions, geopolitical conflicts or instability, such as the war between Ukraine and Russia and the war between Israel and Hamas, labor shortages, government shutdowns, inflation and deflation, potential recessions, lower demand for credit, changes in deposit practices and payment patterns;

•increases or fluctuations in credit losses and delinquencies and the impact of incorrectly estimated expected losses, which could result in inadequate reserves;

•compliance with new and existing domestic and foreign laws, regulations and regulatory expectations;

•limitations on our ability to receive dividends from our subsidiaries;

•our ability to maintain adequate capital or liquidity levels or to comply with revised capital or liquidity requirements, which could have a negative impact on our financial results and our ability to return capital to our stockholders;

•the extensive use, reliability, and accuracy of the models, artificial intelligence, and data on which we rely;

•increased costs, reductions in revenue, reputational damage, legal exposure and business disruptions that can result from a cyber-attack or other security incident on us or third parties (including their supply chains) with which we conduct business, including an incident that results in the theft, loss, manipulation or misuse of information, or the disabling of systems and access to information critical to business operations;

•developments, changes or actions relating to any litigation, governmental investigation or regulatory enforcement action or matter involving us;

•the amount and rate of deposit growth and changes in deposit costs;

•our ability to execute on our strategic initiatives and operational plans;

•our response to competitive pressures;

•our business, financial condition and results of operations may be adversely affected by merchants’ efforts to reduce the fees charged by credit and debit card networks to facilitate card transactions, and by legislation and regulation impacting such fees;

•our success in integrating acquired businesses and loan portfolios, and our ability to realize anticipated benefits from announced transactions and strategic partnerships;

•our ability to develop, operate, and adapt our operational, technology and organizational infrastructure suitable for the nature of our business;

•the success of our marketing efforts in attracting and retaining customers;

•our risk management strategies;

•changes in the reputation of, or expectations regarding, us or the financial services industry with respect to practices, products, services or financial condition;

•fluctuations in interest rates or volatility in the capital markets;

•our ability to attract, develop, retain and motivate key senior leaders and skilled employees;

•climate change manifesting as physical or transition risks;

•our assumptions or estimates in our financial statements;

•the soundness of other financial institutions and other third parties, actual or perceived;

•our ability to invest successfully in and introduce digital and other technological developments across all our businesses;

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•a downgrade in our credit ratings;

•our ability to manage risks from catastrophic events;

•compliance with applicable laws and regulations related to privacy, data protection and data security, in addition to compliance with our own privacy policies and contractual obligations to third parties;

•our ability to protect our intellectual property; and

•other risk factors identified from time to time in our public disclosures, including in the reports that we file with the SEC.

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SUPPLEMENTAL TABLE

Reconciliation of Non-GAAP Measures

The following non-GAAP measure consists of our adjusted results that we believe helps investors and users of our financial information understand the effect of adjusting items on our selected reported results; however, it may not be comparable to similarly-titled measures reported by other companies. This adjusted result provides alternate measurements of our operating performance, both for the current period and trends across multiple periods. The following table presents reconciliations of the non-GAAP measure to the applicable amounts measured in accordance with U.S. GAAP. The non-GAAP measure below should not be viewed as a substitute for reported results determined in accordance with U.S. GAAP.

Table A—Reconciliation of Non-GAAP Measures

						Three Months Ended September 30,												Nine Months Ended September 30,
(Dollars in millions, except as noted)						2024						2023						2024						2023
Adjusted operating efficiency ratio:
Operating expense (U.S. GAAP)						$	4,201					$	3,888					$	12,210					$	11,844
Discover integration expenses						(63)						—						(94)						—
FDIC special assessment						9						—						(41)						—
Adjusted operating expense (non-GAAP)						$	4,147					$	3,888					$	12,075					$	11,844
Total net revenue (loss) (U.S. GAAP)						$	10,014					$	9,366					$	28,922					$	27,281
Walmart program agreement termination contra revenue impact						—						—						27						—
Adjusted net revenue (non-GAAP)						$	10,014					$	9,366					$	28,949					$	27,281
Operating efficiency ratio (U.S. GAAP)						41.95%						41.51%						42.22%						43.41%
Impact of adjustments noted above						(54)		bps				—		bps				(51)		bps				—		bps
Adjusted operating efficiency ratio (non-GAAP)						41.41%						41.51%						41.71%						43.41%

The following non-GAAP measures consist of TCE, tangible assets and metrics computed using these amounts, which include tangible book value per common share, return on average tangible assets, return on average TCE and TCE ratio. We consider these metrics to be key financial performance measures that management uses in assessing capital adequacy and the level of returns generated. While these non-GAAP measures are widely used by investors, analysts and bank regulatory agencies to assess the capital position of financial services companies, they may not be comparable to similarly-titled measures reported by other companies. The following table presents reconciliations of these non-GAAP measures to the applicable amounts measured in accordance with U.S. GAAP. These non-GAAP measures should not be viewed as a substitute for reported results determined in accordance with U.S. GAAP.

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						Three Months Ended September 30,												Nine Months Ended September 30,
(Dollars in millions, except as noted)						2024						2023						2024						2023
Tangible Common Equity (Average):
Stockholders’ equity						$	61,289					$	55,012					$	59,139					$	55,048
Goodwill and other intangible assets(1)						(15,225)						(15,348)						(15,251)						(15,174)
Noncumulative perpetual preferred stock						(4,845)						(4,845)						(4,845)						(4,845)
Tangible common equity						$	41,219					$	34,819					$	39,043					$	35,029
Return on Tangible Common Equity (Average):
Net income available to common stockholders						$	1,692					$	1,705					$	3,423					$	3,943
Tangible common equity (Average)						41,219						34,819						39,043						35,029
Return on tangible common equity(2)						16.42%						19.59%						11.69%						15.01%
Tangible Assets (Average):
Total assets						$	481,219					$	469,860					$	477,816					$	466,279
Goodwill and other intangible assets(1)						(15,225)						(15,348)						(15,251)						(15,174)
Tangible assets						$	465,994					$	454,512					$	462,565					$	451,105
Return on Tangible Assets (Average):
Net income						$	1,777					$	1,790					$	3,654					$	4,181
Tangible assets (Average)						465,994						454,512						462,565						451,105
Return on tangible assets(3)						1.53%						1.58%						1.05%						1.24%

(Dollars in millions, except as noted)						September 30, 2024						September 30, 2023						December 31, 2023
Tangible Common Equity (Period-End):
Stockholders’ equity						$	62,925					$	53,668					$	58,089
Goodwill and other intangible assets(1)						(15,214)						(15,308)						(15,289)
Noncumulative perpetual preferred stock						(4,845)						(4,845)						(4,845)
Tangible common equity						$	42,866					$	33,515					$	37,955
Tangible Assets (Period-End):
Total assets						$	486,433					$	471,435					$	478,464
Goodwill and other intangible assets(1)						(15,214)						(15,308)						(15,289)
Tangible assets						$	471,219					$	456,127					$	463,175
Tangible Book Value per Common Share:
Tangible common equity (period-end)						$	42,866					$	33,515					$	37,955
Outstanding Common Shares						381.5						381.0						380.4
Tangible book value per common share						$	112.36					$	87.97					$	99.78
TCE Ratio
Tangible common equity (Period-end)						$	42,866					$	33,515					$	37,955
Tangible Assets (Period-end)						471,219						456,127						463,175
TCE Ratio(4)						9.1%						7.3%						8.2%

(1)Includes impact of related deferred taxes.

(2)Return on average tangible common equity is a non-GAAP measure calculated based on annualized net income (loss) available to common stockholders less annualized income (loss) from discontinued operations, net of tax, for the period, divided by average TCE.

(3)Return on average tangible assets is a non-GAAP measure calculated based on annualized income (loss) from continuing operations, net of tax, for the period divided by average tangible assets for the period.

(4)TCE ratio is a non-GAAP measure calculated based on TCE divided by period-end tangible assets.

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Glossary and Acronyms

2019 Cybersecurity Incident: The unauthorized access by an outside individual who obtained certain types of personal information relating to people who had applied for our credit card products and to our credit card customers that we announced on July 29, 2019.

2022 Call Report: Consolidated Reports of Condition and Income as of December 31, 2022.

Allowance coverage ratio: Allowance as a percentage of loans held for investment.

Amortized cost: The amount at which a financing receivable or investment is originated or acquired, adjusted for applicable accrued interest, accretion, or amortization of premium, discount, and net deferred fees or costs, collection of cash, write-offs, foreign exchange and fair value hedge accounting adjustments.

Annual Report: References to our “2023 Form 10-K” are to our Annual Report on Form 10-K for the fiscal year ended December 31, 2023.

Bank: CONA, Capital One Financial Corporation’s principal operating subsidiary.

Basel Committee: The Basel Committee on Banking Supervision.

Basel III Capital Rules: The regulatory capital requirements established by the Federal Banking Agencies in July 2013 to implement the Basel III capital framework developed by the Basel Committee as well as certain Dodd-Frank Act and other capital provisions.

Basel III Finalization Proposal: The notice of proposed rulemaking released by the Federal Banking Agencies on July 27, 2023 to revise the Basel III Capital Rules applicable to banking organizations with total assets of $100 billion or more and their subsidiary depository institutions.

Basel III standardized approach: The Basel III Capital Rules modified Basel I to create the Basel III standardized approach.

Capital One or the Company: Capital One Financial Corporation and its subsidiaries.

Carrying value (with respect to loans): The amount at which a loan is recorded on the consolidated balance sheets. For loans recorded at amortized cost, carrying value is the unpaid principal balance net of unamortized deferred loan origination fees and costs, and unamortized purchase premium or discount. For loans that are or have been on nonaccrual status, the carrying value is also reduced by any net charge-offs that have been recorded and the amount of interest payments applied as a reduction of principal under the cost recovery method. For credit card loans, the carrying value also includes interest that has been billed to the customer, net of any related reserves. Loans held for sale are recorded at either fair value (if we elect the fair value option) or at the lower of cost or fair value.

CECL: In June 2016, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) No. 2016-13, Financial Instruments—Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments. This ASU requires an impairment model (known as the CECL model) that is based on expected rather than incurred losses, with an anticipated result of more timely loss recognition. This guidance was effective for us on January 1, 2020.

CECL Transition Election: The optional five-year transition period provided to banking institutions to phase in the impact of the CECL standard on their regulatory capital.

CECL Transition Rule: A rule adopted by the Federal Banking Agencies and effective in 2020 that provides banking institutions an optional five-year transition period to phase in the impact of the CECL standard on their regulatory capital.

Common equity Tier 1 (“CET1”) capital: CET1 capital primarily includes qualifying common shareholders’ equity, retained earnings and certain AOCI amounts less certain deductions for goodwill, intangible assets, and certain deferred tax assets.

CONA: Capital One, National Association, one of our wholly-owned subsidiaries, which offers a broad spectrum of banking products and financial services to consumers, small businesses and commercial clients.

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CONA Bank Merger: The merger of Discover Bank, a Delaware-chartered bank and wholly owned subsidiary of Discover, with and into CONA, with CONA as the surviving entity.

Credit risk: The risk to current or projected financial condition and resilience arising from an obligor’s failure to meet the terms of any contract with the Company or otherwise perform as agreed.

Deposit Insurance Fund (“DIF”): A fund maintained by the FDIC to provide insurance coverage for certain deposits. It is funded through assessments on banks.

Derivative: A contract or agreement whose value is derived from changes in interest rates, foreign exchange rates, prices of securities or commodities, credit worthiness for credit default swaps or financial or commodity indices.

Discontinued operations: The operating results of a component of an entity, as defined by Accounting Standards Codification 205, that are removed from continuing operations when that component has been disposed of or it is management’s intention to sell the component.

Discover: Discover Financial Services, a Delaware corporation.

Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010 (“Dodd-Frank Act”): Regulatory reform legislation signed into law on July 21, 2010. This law broadly affects the financial services industry and contains numerous provisions aimed at strengthening the sound operation of the financial services sector.

Exchange Act: The Securities Exchange Act of 1934, as amended.

eXtensible Business Reporting Language (“XBRL”): A language for the electronic communication of business and financial data.

Federal Banking Agencies: The Federal Reserve, Office of the Comptroller of the Currency and Federal Deposit Insurance Corporation.

Federal Deposit Insurance Corporation (“FDIC”): An independent U.S. governmental agency that administers the Deposit Insurance Fund.

Federal Reserve: The Board of Governors of the Federal Reserve System.

FICO score: A measure of consumer credit risk provided by credit bureaus, typically produced from statistical modeling software created by FICO (formerly known as “Fair Isaac Corporation”) utilizing data collected by the credit bureaus.

Financial difficulty modification (“FDM”): A FDM is deemed to occur when a loan modification is made to a borrower experiencing financial difficulty in the form of principal forgiveness, an interest rate reduction, an other-than-insignificant payment delay, a term extension, or a combination of these modifications in the current reporting period. FDMs became effective with the adoption of ASU 2022-02, Financial Instruments - Credit Losses (Topic 326): Troubled Debt Restructurings and Vintage Disclosures on January 1, 2023.

Foreign exchange contracts: Contracts that provide for the future receipt or delivery of foreign currency at previously agreed-upon terms.

Framework: The Capital One enterprise-wide risk management framework.

GSE or Agency: A government-sponsored enterprise or agency is a financial services corporation created by the United States Congress. Examples of U.S. government agencies include Federal National Mortgage Association (“Fannie Mae”), Federal Home Loan Mortgage Corporation (“Freddie Mac”), Government National Mortgage Association (“Ginnie Mae”) and the Federal Home Loan Banks (“FHLB”).

Interest rate sensitivity: The exposure to interest rate movements.

Interest rate swaps: Contracts in which a series of interest rate flows in a single currency are exchanged over a prescribed period. Interest rate swaps are the most common type of derivative contract that we use in our asset/liability management activities.

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Investment grade: Represents a Moody’s long-term rating of Baa3 or better; and/or a S&P long-term rating of BBB- or better; and/or a Fitch long-term rating of BBB- or better; or if unrated, an equivalent rating using our internal risk ratings. Instruments that fall below these levels are considered to be non-investment grade.

Investor Entities: Entities that invest in community development entities (“CDE”) that provide debt financing to businesses and non-profit entities in low-income and rural communities.

LCR Rule: The final rules published by the Basel Committee and as implemented by the Federal Banking Agencies in 2014 for the Basel III Liquidity Coverage Ratio (“LCR”) in the United States. The LCR is calculated by dividing the amount of an institution’s high quality, unencumbered liquid assets by its estimated net cash outflow, as defined and calculated in accordance with the LCR Rule.

Leverage ratio: Tier 1 capital divided by average assets after certain adjustments, as defined by regulators.

Liquidity risk: The risk that the Company will not be able to meet its future financial obligations as they come due, or invest in future asset growth because of an inability to obtain funds at a reasonable price within a reasonable time.

Loan-to-value (“LTV”) ratio: The relationship, expressed as a percentage, between the principal amount of a loan and the appraised value of the collateral securing the loan.

Loss severity: Loss given default.

Managed presentation: A non-GAAP presentation of business segment results derived from our internal management accounting and reporting process, which employs various allocation methodologies, including funds transfer pricing, to assign certain balance sheet assets, deposits and other liabilities and their related revenues and expenses directly or indirectly attributable to each business segment. The results of our individual businesses reflect the manner in which management evaluates performance and makes decisions about funding our operations and allocating resources and are intended to reflect each segment as if it were a stand-alone business.

Market risk: The risk that an institution’s earnings or the economic value of equity could be adversely impacted by changes in interest rates, foreign exchange rates or other market factors.

Master netting agreement: An agreement between two counterparties that have multiple contracts with each other that provides for the net settlement of all contracts through a single payment in the event of default or termination of any one contract.

Merger Agreement: Agreement and Plan of Merger, dated as of February 19, 2024, by and among Discover, Capital One and Merger Sub.

Merger: The merger of Merger Sub with and into Discover, with Discover as the surviving entity, pursuant to the Merger Agreement.

Merger Sub: Vega Merger Sub, Inc.

Mortgage servicing rights (“MSRs”): The right to service a mortgage loan when the underlying loan is sold or securitized. Servicing includes collections for principal, interest and escrow payments from borrowers and accounting for and remitting principal and interest payments to investors.

Net charge-off rate: Represents (annualized) net charge-offs divided by average loans held for investment for the period. Negative net charge-offs and related rates are captioned as net recoveries.

Net interest margin: Represents (annualized) net interest income divided by average interest-earning assets for the period.

Nonperforming loans: Generally include loans that have been placed on nonaccrual status. We do not report loans classified as held for sale as nonperforming.

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NSFR Rule: The final rules published by the Basel Committee and as issued by the Federal Banking Agencies in October 2020 implementing the net stable funding ratio (“NSFR”) in the United States. The NSFR measures the stability of our funding profile and requires us to maintain minimum amounts of stable funding to support our assets, commitments and derivatives exposures over a one-year period.

PR Rules: The U.S. prudential regulators’ margin rules for uncleared derivatives.

Public Fund Deposits: Deposits that are derived from a variety of political subdivisions such as school districts and municipalities.

Purchase volume: Consists of purchase transactions, net of returns, for the period, and excludes cash advance and balance transfer transactions.

Rating agency: An independent agency that assesses the credit quality and likelihood of default of an issue or issuer and assigns a rating to that issue or issuer.

Repurchase agreement: An instrument used to raise short-term funds whereby securities are sold with an agreement for the seller to buy back the securities at a later date.

Restructuring charges: Charges associated with the realignment of resources supporting various businesses, primarily consisting of severance and related benefits pursuant to our ongoing benefit programs and impairment of certain assets related to the business locations and/or activities being exited.

Risk-weighted assets: On- and off-balance sheet assets that are assigned to one of several broad risk categories and weighted by factors representing their risk and potential for default.

Second Step Merger: The merger of Discover with and into Capital One, with Capital One as the surviving entity.

Securitized debt obligations: A type of asset-backed security and structured credit product constructed from a portfolio of fixed-income assets.

Stress capital buffer requirement: A component of our standardized approach capital conservation buffer, which is recalibrated annually based on the results of our supervisory stress tests.

Stress Capital Buffer Rule: The final rule issued by the Federal Reserve in March 2020 to implement the stress capital buffer requirement.

Subprime: For purposes of lending in our Credit Card business, we generally consider FICO scores of 660 or below, or other equivalent risk scores, to be subprime. For purposes of auto lending in our Consumer Banking business, we generally consider FICO scores of 620 or below to be subprime.

Tangible common equity (“TCE”): A non-GAAP financial measure calculated as common equity less goodwill and other intangible assets inclusive of any related deferred tax liabilities.

This Report: Quarterly Report on Form 10-Q for the period ended September, 30 2024.

Transaction: On February 19, 2024, we entered into the Merger Agreement to acquire Discover in an all-stock transaction.

Unfunded lending commitments: Legally binding agreements to provide a defined level of financing until a specified future date.

U.S. GAAP: Accounting principles generally accepted in the United States of America. Accounting rules and conventions defining acceptable practices in preparing financial statements in the U.S.

U.S. Real Gross Domestic Product (“GDP”): An inflation-adjusted measure that reflects the value of all goods and services produced by an economy in a given year.

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Variable interest entity (“VIE”): An entity that, by design, either (i) lacks sufficient equity to permit the entity to finance its activities without additional subordinated financial support from other parties; or (ii) has equity investors that do not have (a) the ability to make significant decisions relating to the entity’s operations through voting rights, (b) the obligation to absorb the expected losses, and/or (c) the right to receive the residual returns of the entity.

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Acronyms

ABS: Asset-backed securities

AOCI: Accumulated other comprehensive income

ASU: Accounting Standards Update

ATM: Automated teller machine

BHC: Bank holding company

bps: Basis points

CAD: Canadian dollar

CCP: Central Counterparty Clearinghouse, or Central Clearinghouse

CDE: Community development entities

CECL: Current expected credit loss

CEO: Chief Executive Officer

CET1: Common equity Tier 1 capital

CFO: Chief Financial Officer

CFPB: Consumer Financial Protection Bureau

CMBS: Commercial mortgage-backed securities

CME: Chicago Mercantile Exchange

COEP: Capital One (Europe) plc

COF: Capital One Financial Corporation

CONA: Capital One, National Association

CVA: Credit valuation adjustment

DCF: Discounted cash flow

DIF: Deposit Insurance Fund

DTCC: Depository Trust and Clearing Corporation

DVA: Debit valuation adjustment

EUR: Euro

Fannie Mae: Federal National Mortgage Association

FASB: Financial Accounting Standards Board

FCA: Financial Conduct Authority

FCM: Futures commission merchant

FDM: Financial difficulty modification

FDIC: Federal Deposit Insurance Corporation

FFIEC: Federal Financial Institutions Examination Council

FHLB: Federal Home Loan Banks

FICC - GSD: Fixed Income Clearing Corporation - Government Securities Division

FICO: Fair Isaac Corporation

Fitch: Fitch Ratings

Freddie Mac: Federal Home Loan Mortgage Corporation

GAAP: Generally accepted accounting principles in the U.S.

GBP: Pound sterling

GDP: U.S. Real Gross Domestic Product

Ginnie Mae: Government National Mortgage Association

G-SIB: Global systemically important banks

GSE or Agency: Government-sponsored enterprise

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ICE: Intercontinental Exchange

IRM: Independent Risk Management

LCH: LCH Group

LCR: Liquidity coverage ratio

LTV: Loan-to-Value

Moody’s: Moody’s Investors Service

MSRs: Mortgage servicing rights

NORA: Notice of Opportunity to Respond and Advise

NSFR: Net stable funding ratio

OCC: Office of the Comptroller of the Currency

OCI: Other comprehensive income

OPC: Canada’s Office of Privacy Commissioner

OTC: Over-the-counter

PCA: Prompt corrective action

PCCR: Purchased credit card relationship

PCD: Purchased Credit-Deteriorated

PPI: Payment protection insurance

RMBS: Residential mortgage-backed securities

S&P: Standard & Poor’s

SEC: U.S. Securities and Exchange Commission

SOFR: Secured Overnight Financing Rate

TCE: Tangible common equity

TDR: Troubled debt restructuring

U.K.: United Kingdom

U.S.: United States of America

VaR: Value-At-Risk

VIE: Variable interest entity

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Item 1. Financial Statements
			Page
Consolidated Financial Statements			77
Consolidated Statements of Income			77
Consolidated Statements of Comprehensive Income			78
Consolidated Balance Sheets			79
Consolidated Statements of Changes in Stockholders’ Equity			80
Consolidated Statements of Cash Flows			82
Notes to Consolidated Financial Statements			84
Note 1—Summary of Significant Accounting Policies			84
Note 2—Business Combinations			86
Note 3—Investment Securities			87
Note 4—Loans			90
Note 5—Allowance for Credit Losses and Reserve for Unfunded Lending Commitments			105
Note 6—Variable Interest Entities and Securitizations			110
Note 7—Goodwill and Other Intangible Assets			114
Note 8—Deposits and Borrowings			115
Note 9—Derivative Instruments and Hedging Activities			116
Note 10—Stockholders’ Equity			126
Note 11—Earnings Per Common Share			130
Note 12—Fair Value Measurement			131
Note 13—Business Segments and Revenue from Contracts with Customers			139
Note 14—Commitments, Contingencies, Guarantees and Others			143

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CAPITAL ONE FINANCIAL CORPORATION

CONSOLIDATED STATEMENTS OF INCOME (UNAUDITED)

						Three Months Ended September 30,												Nine Months Ended September 30,
(Dollars in millions, except per share-related data)						2024						2023						2024						2023
Interest income:
Loans, including loans held for sale						$	10,547					$	9,696					$	30,460					$	27,476
Investment securities						733						627						2,120						1,881
Other						580						550						1,737						1,436
Total interest income						11,860						10,873						34,317						30,793
Interest expense:
Deposits						2,945						2,611						8,631						6,744
Securitized debt obligations						234						249						753						696
Senior and subordinated notes						596						579						1,793						1,596
Other borrowings						9						11						30						35
Total interest expense						3,784						3,450						11,207						9,071
Net interest income						8,076						7,423						23,110						21,722
Provision for credit losses						2,482						2,284						9,074						7,569
Net interest income after provision for credit losses						5,594						5,139						14,036						14,153
Non-interest income:
Interchange fees, net						1,228						1,234						3,622						3,586
Service charges and other customer-related fees						501						453						1,422						1,243
Net securities gains (losses)						(35)						0						(35)						0
Other						244						256						803						730
Total non-interest income						1,938						1,943						5,812						5,559
Non-interest expense:
Salaries and associate benefits						2,391						2,274						7,069						7,018
Occupancy and equipment						587						518						1,692						1,532
Marketing						1,113						972						3,187						2,755
Professional services						402						295						980						909
Communications and data processing						358						344						1,064						1,038
Amortization of intangibles						20						24						58						60
Other						443						433						1,347						1,287
Total non-interest expense						5,314						4,860						15,397						14,599
Income from continuing operations before income taxes						2,218						2,222						4,451						5,113
Income tax provision						441						432						797						932
Net income						1,777						1,790						3,654						4,181
Dividends and undistributed earnings allocated to participating securities						(28)						(28)						(60)						(67)
Preferred stock dividends						(57)						(57)						(171)						(171)
Net income available to common stockholders						$	1,692					$	1,705					$	3,423					$	3,943
Basic earnings per common share:
Net income per basic common share						$	4.42					$	4.46					$	8.94					$	10.31
Diluted earnings per common share:
Net income per diluted common share						$	4.41					$	4.45					$	8.92					$	10.28

See Notes to Consolidated Financial Statements.
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CAPITAL ONE FINANCIAL CORPORATION

CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (UNAUDITED)

						Three Months Ended September 30,												Nine Months Ended September 30,
(Dollars in millions)						2024						2023						2024						2023
Net income						$	1,777					$	1,790					$	3,654					$	4,181
Other comprehensive income (loss), net of tax:
Net unrealized gains (losses) on securities available for sale						2,300						(2,108)						1,272						(2,034)
Net unrealized gains (losses) on hedging relationships						1,069						(259)						677						(282)
Foreign currency translation adjustments						45						(39)						31						8
Other						0						0						1						0
Other comprehensive income (loss), net of tax						3,414						(2,406)						1,981						(2,308)
Comprehensive income (loss)						$	5,191					$	(616)					$	5,635					$	1,873

    

See Notes to Consolidated Financial Statements.
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CAPITAL ONE FINANCIAL CORPORATION

CONSOLIDATED BALANCE SHEETS (UNAUDITED)

(Dollars in millions, except per share-related data)						September 30, 2024						December 31, 2023
Assets:
Cash and cash equivalents:
Cash and due from banks						$	3,976					$	4,903
Interest-bearing deposits and other short-term investments						45,322						38,394
Total cash and cash equivalents						49,298						43,297
Restricted cash for securitization investors						421						458
Securities available for sale (amortized cost of $90.8 billion and $88.1 billion and allowance for credit losses of $3 million and $4 million as of September 30, 2024 and December 31, 2023, respectively)						83,500						79,117
Loans held for investment:
Unsecuritized loans held for investment						292,061						289,229
Loans held in consolidated trusts						28,182						31,243
Total loans held for investment						320,243						320,472
Allowance for credit losses						(16,534)						(15,296)
Net loans held for investment						303,709						305,176
Loans held for sale ($77 million and $347 million carried at fair value as of September 30, 2024 and December 31, 2023, respectively)						96						854
Premises and equipment, net						4,440						4,375
Interest receivable						2,577						2,478
Goodwill						15,083						15,065
Other assets						27,309						27,644
Total assets						$	486,433					$	478,464
Liabilities:
Interest payable						$	705					$	649
Deposits:
Non-interest-bearing deposits						26,378						28,024
Interest-bearing deposits						327,253						320,389
Total deposits						353,631						348,413
Securitized debt obligations						15,881						18,043
Other debt:
Federal funds purchased and securities loaned or sold under agreements to repurchase						520						538
Senior and subordinated notes						32,911						31,248
Other borrowings						24						27
Total other debt						33,455						31,813
Other liabilities						19,836						21,457
Total liabilities						423,508						420,375
Commitments, contingencies and guarantees (see Note 14)
Stockholders’ equity:
Preferred stock (par value $0.01 per share; 50,000,000 shares authorized; 4,975,000 shares issued and outstanding as of both September 30, 2024 and December 31, 2023)						0						0
Common stock (par value $0.01 per share; 1,000,000,000 shares authorized; 701,557,753 and 696,242,668 shares issued as of September 30, 2024 and December 31, 2023, respectively; 381,510,336 and 380,389,609 shares outstanding as of September 30, 2024 and December 31, 2023, respectively)						7						7
Additional paid-in capital, net						36,216						35,541
Retained earnings						63,698						60,945
Accumulated other comprehensive loss						(6,287)						(8,268)
Treasury stock, at cost (par value $0.01 per share; 320,047,417 and 315,853,059 shares as of September 30, 2024 and December 31, 2023, respectively)						(30,709)						(30,136)
Total stockholders’ equity						62,925						58,089
Total liabilities and stockholders’ equity						$	486,433					$	478,464

See Notes to Consolidated Financial Statements.
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CAPITAL ONE FINANCIAL CORPORATION

CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS’ EQUITY (UNAUDITED)

(Dollars in millions)						Preferred Stock												Common Stock												Additional Paid-In Capital						Retained Earnings						Accumulated Other Comprehensive Income (Loss)						Treasury Stock						Total Stockholders’ Equity
						Shares						Amount						Shares						Amount
Balance as of December 31, 2023						4,975,000						$	0					696,242,668						$	7					$	35,541					$	60,945					$	(8,268)					$	(30,136)					$	58,089
Cumulative effects of accounting standards adoption(1)																																				(25)																		(25)
Comprehensive income (loss)																																				1,280						(1,266)												14
Dividends—common stock(2)																		24,969						0						3						(238)																		(235)
Dividends—preferred stock																																				(57)																		(57)
Purchases of treasury stock																																																(249)						(249)
Issuances of common stock and restricted stock, net of forfeitures																		3,470,983						0						80																								80
Exercises of stock options																		15,000						0						1																								1
Compensation expense for restricted stock units																														183																								183
Balance as of March 31, 2024						4,975,000						$	0					699,753,620						$	7					$	35,808					$	61,905					$	(9,534)					$	(30,385)					$	57,801
Comprehensive income (loss)																																				597						(167)												430
Dividends—common stock(2)																		8,354						0						2						(234)																		(232)
Dividends—preferred stock																																				(57)																		(57)
Purchases of treasury stock																																																(163)						(163)
Issuances of common stock and restricted stock, net of forfeitures																		941,120						0						95																								95
Compensation expense for restricted stock units																														107																								107
Balance as of June 30, 2024						4,975,000						$	0					700,703,094						$	7					$	36,012					$	62,211					$	(9,701)					$	(30,548)					$	57,981
Comprehensive income																																				1,777						3,414												5,191
Dividends—common stock(2)																		2,846						0						0						(233)																		(233)
Dividends—preferred stock																																				(57)																		(57)
Purchases of treasury stock																																																(161)						(161)
Issuances of common stock and restricted stock, net of forfeitures																		691,072						0						76																								76
Exercises of stock options																		160,741						0						3																								3
Compensation expense for restricted stock units																														125																								125
Balance as of September 30, 2024						4,975,000						$	0					701,557,753						$	7					$	36,216					$	63,698					$	(6,287)					$	(30,709)					$	62,925

See Notes to Consolidated Financial Statements.
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CAPITAL ONE FINANCIAL CORPORATION

CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS’ EQUITY (UNAUDITED)

(Dollars in millions)						Preferred Stock												Common Stock												Additional Paid-In Capital						Retained Earnings						Accumulated Other Comprehensive Income (Loss)						Treasury Stock						Total Stockholders’ Equity
						Shares						Amount						Shares						Amount
Balance as of December 31, 2022						4,975,000						$	0					690,334,422						$	7					$	34,725					$	57,184					$	(9,916)					$	(29,418)					$	52,582
Cumulative effects of accounting standards adoption(3)																																				48																		48
Comprehensive income																																				960						1,376												2,336
Dividends—common stock(2)																		26,635						0						3						(237)																		(234)
Dividends—preferred stock																																				(57)																		(57)
Purchases of treasury stock																																																(246)						(246)
Issuances of common stock and restricted stock, net of forfeitures																		2,972,149						0						76																								76
Compensation expense for restricted stock units																														148																								148
Balance as of March 31, 2023						4,975,000						$	0					693,333,206						$	7					$	34,952					$	57,898					$	(8,540)					$	(29,664)					$	54,653
Cumulative effects of accounting standards adoption(4)																																				(11)																		(11)
Comprehensive income (loss)																																				1,431						(1,278)												153
Dividends—common stock(2)																		4,745						0						1						(233)																		(232)
Dividends—preferred stock																																				(57)																		(57)
Purchases of treasury stock																																																(157)						(157)
Issuances of common stock and restricted stock, net of forfeitures																		989,004						0						88																								88
Compensation expense for restricted stock units																														122																								122
Balance as of June 30, 2023						4,975,000						$	0					694,326,955						$	7					$	35,163					$	59,028					$	(9,818)					$	(29,821)					$	54,559
Comprehensive income (loss)																																				1,790						(2,406)												(616)
Dividends—common stock(2)																		4,078						0						0						(232)																		(232)
Dividends—preferred stock																																				(57)																		(57)
Purchases of treasury stock																																																(157)						(157)
Issuances of common stock and restricted stock, net of forfeitures																		943,409						0						71																								71
Exercises of stock options																		62,256						0						4																								4
Compensation expense for restricted stock units																														96																								96
Balance as of September 30, 2023						4,975,000						$	0					695,336,698						$	7					$	35,334					$	60,529					$	(12,224)					$	(29,978)					$	53,668

________

(1)Impact from the adoption of Accounting Standards Update (“ASU”) 2023-02, Investments - Equity Method and Joint Ventures (Topic 323): Accounting for Investments in Tax Credit Structures Using the Proportional Amortization Method as of January 1, 2024.

(2)We declared dividends per share on our common stock of $0.60 in the third quarter of 2024 and 2023, and $1.80 in the first nine months of 2024 and 2023.

(3)Impact from the adoption of ASU 2022-02, Financial Instruments - Credit Losses (Topic 326): Troubled Debt Restructurings (“TDR”) and Vintage Disclosures as of January 1, 2023.

(4)We have equity method investments in certain non-public entities which adopted ASU 2019-10, Financial Instruments - Credit Losses (Topic 326), Derivatives and Hedging (Topic 815), and Leases (Topic 842) as of January 1, 2023. The impact to retained earnings was recorded in the second quarter of 2023, on a one quarter lag consistent with our standard operating procedures for equity method investments.

See Notes to Consolidated Financial Statements.
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CAPITAL ONE FINANCIAL CORPORATION

CONSOLIDATED STATEMENTS OF CASH FLOWS (UNAUDITED)

						Nine Months Ended September 30,
(Dollars in millions)						2024						2023
Operating activities:
Income from continuing operations, net of tax						$	3,654					$	4,181
Net income						3,654						4,181
Adjustments to reconcile net income to net cash from operating activities:
Provision for credit losses						9,074						7,569
Depreciation and amortization, net						2,423						2,428
Deferred tax benefit						(501)						(513)
Net securities losses						35						0
Loss on sales of loans						27						1
Stock-based compensation expense						425						372
Other						37						(46)
Loans held for sale:
Originations and purchases						(2,603)						(3,990)
Proceeds from sales and paydowns						2,887						3,847
Changes in operating assets and liabilities:
Changes in interest receivable						(99)						(350)
Changes in other assets						913						(483)
Changes in interest payable						56						158
Changes in other liabilities						(617)						301
Net cash from operating activities						15,711						13,475
Investing activities:
Securities available for sale:
Purchases						(11,677)						(7,334)
Proceeds from paydowns and maturities						8,732						6,663
Proceeds from sales						175						0
Loans:
Net changes in loans originated as held for investment						(9,984)						(8,827)
Principal recoveries of loans previously charged off						2,197						1,715
Changes in premises and equipment						(848)						(700)
Net cash used in acquisitions						0						(2,785)
Net cash used in other investing activities						(756)						(962)
Net cash used in investing activities						$	(12,161)					$	(12,230)

See Notes to Consolidated Financial Statements.
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CAPITAL ONE FINANCIAL CORPORATION

CONSOLIDATED STATEMENTS OF CASH FLOWS (UNAUDITED)

						Nine Months Ended September 30,
(Dollars in millions)						2024						2023
Financing activities:
Deposits and borrowings:
Changes in deposits						$	4,987					$	13,080
Issuance of securitized debt obligations						997						2,443
Maturities and paydowns of securitized debt obligations						(3,434)						(2,003)
Issuance of senior and subordinated notes						3,985						5,728
Maturities and paydowns of senior and subordinated notes						(2,911)						(4,886)
Changes in other borrowings						(21)						(369)
Common stock:
Net proceeds from issuances						251						235
Dividends paid						(700)						(698)
Preferred stock:
Dividends paid						(171)						(171)
Purchases of treasury stock						(573)						(560)
Proceeds from share-based payment activities						4						4
Net cash from financing activities						2,414						12,803
Changes in cash, cash equivalents and restricted cash for securitization investors						5,964						14,048
Cash, cash equivalents and restricted cash for securitization investors, beginning of the period						43,755						31,256
Cash, cash equivalents and restricted cash for securitization investors, end of the period						$	49,719					$	45,304
Supplemental cash flow information:
Non-cash items:
Interest paid						9,831						10,196
Income tax paid						563						871

See Notes to Consolidated Financial Statements.
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NOTE 1—SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

The Company

Capital One Financial Corporation, a Delaware corporation established in 1994 and headquartered in McLean, Virginia, is a diversified financial services holding company with banking and non-banking subsidiaries. Capital One Financial Corporation and its subsidiaries (the “Company” or “Capital One”) offer a broad array of financial products and services to consumers, small businesses and commercial clients through digital channels, branch locations, cafés and other distribution channels.

As of September 30, 2024, Capital One Financial Corporation’s principal operating subsidiary was Capital One, National Association (“CONA”). The Company is hereafter collectively referred to as “we,” “us” or “our.” CONA is referred to as the “Bank.”

We also offer products outside of the United States of America (“U.S.”) principally through Capital One (Europe) plc (“COEP”), an indirect subsidiary of CONA organized and located in the United Kingdom (“U.K.”), and through a branch of CONA in Canada. Both COEP and our Canadian branch of CONA have the authority to provide credit card loans.

Our principal operations are organized for management reporting purposes into three major business segments, which are defined primarily based on the products and services provided or the types of customer served: Credit Card, Consumer Banking and Commercial Banking. We provide details on our business segments, the integration of any recent material acquisitions into our business segments, and the allocation methodologies and accounting policies used to derive our business segment results in “Note 13—Business Segments and Revenue from Contracts with Customers.”

Basis of Presentation and Use of Estimates

The accompanying unaudited interim consolidated financial statements have been prepared in accordance with generally accepted accounting principles in the U.S. (“U.S. GAAP”). The preparation of the consolidated financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the amounts reported in the consolidated financial statements and in the related disclosures. These estimates are based on information available as of the date of the consolidated financial statements. While management makes its best judgments, actual amounts or results could differ from these estimates. In the opinion of management, all normal, recurring adjustments have been included for a fair statement of this interim financial information.

These unaudited interim consolidated financial statements should be read in conjunction with the audited consolidated financial statements, and related notes thereto, included in Capital One Financial Corporation’s 2023 Annual Report on Form 10-K (“2023 Form 10-K”).

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Newly Adopted Accounting Standards During the Nine Months Ended September 30, 2024

Standard

Guidance

Adoption Timing and Financial Statement Impacts

Tax Credit Investments ASU No. 2023-02, Investments - Equity Method and Joint Ventures (Topic 323): Accounting for Investments in Tax Credit Structures Using the Proportional Amortization Method Issued March 2023

Permits entities to elect to account for their tax equity investments, regardless of the tax credit program from which the income tax credits are received, using the proportional amortization method, if certain criteria are met. Previously, only Low-Income Housing Tax Credit investments were eligible for application of the proportional amortization method.

We adopted this standard on its effective date of January 1, 2024 using a modified retrospective transition method, which results in a cumulative-effect adjustment to retained earnings in the period of adoption. Our adoption of this standard did not have a material impact on our consolidated financial statements. See “Consolidated Statements of Changes in Stockholders’ Equity” and “Note 6—Variable Interest Entities and Securitizations” for additional disclosures.

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NOTE 2—BUSINESS COMBINATIONS

On February 19, 2024, the Company entered into an agreement and plan of merger (the “Merger Agreement”), by and among Capital One, Discover Financial Services, a Delaware corporation (“Discover”) and Vega Merger Sub, Inc., a Delaware corporation and a direct, wholly owned subsidiary of the Company (“Merger Sub”), pursuant to which (a) Merger Sub will merge with and into Discover, with Discover as the surviving entity in the merger (the “Merger”); (b) immediately following the Merger, Discover, as the surviving entity, will merge with and into Capital One, with Capital One as the surviving entity in the second-step merger (the “Second Step Merger”); and (c) immediately following the Second Step Merger, Discover Bank, a Delaware-chartered and wholly owned subsidiary of Discover, will merge with and into CONA, with CONA as the surviving entity in the merger (the “CONA Bank Merger,” and collectively with the Merger and the Second Step Merger, the “Transaction”). The Merger Agreement was unanimously approved by the Boards of Directors of each of Capital One and Discover.

At the effective time of the Merger, each share of common stock of Discover outstanding immediately prior to the effective time of the Merger, other than certain shares held by Discover or Capital One, will be converted into the right to receive 1.0192 shares of common stock of Capital One. Holders of Discover common stock will receive cash in lieu of fractional shares. At the effective time of the Second Step Merger, each share of Fixed-to-Floating Rate Non-Cumulative Perpetual Preferred Stock, Series C, of Discover, and each share of 6.125% Fixed-Rate Reset Non-Cumulative Perpetual Preferred Stock, Series D, of Discover, in each case outstanding immediately prior to the effective time of the Second Step Merger, will be converted into the right to receive a share of newly created series of preferred stock of Capital One having terms that are not materially less favorable than the applicable series of Discover preferred stock. The closing of the Transaction is subject to the satisfaction of customary closing conditions, including receipt of required regulatory approvals and approval by the stockholders of each of Capital One and Discover.

For the three and nine months ended September 30, 2024, we have incurred $63 million and $94 million of integration expenses related to the agreement to acquire Discover, which are included in Operating Expense in our Consolidated Statements of Income.

			86			Capital One Financial Corporation (COF)

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NOTE 3—INVESTMENT SECURITIES

Our investment securities portfolio consists of the following: U.S. government-sponsored enterprise or agency (“GSE” or “Agency”) and non-agency residential mortgage-backed securities (“RMBS”), agency commercial mortgage-backed securities (“CMBS”), U.S. Treasury securities and other securities. Agency securities include Government National Mortgage Association (“Ginnie Mae”) guaranteed securities, Federal National Mortgage Association (“Fannie Mae”) and Federal Home Loan Mortgage Corporation (“Freddie Mac”) issued securities. The carrying value of our investments in Agency and U.S. Treasury securities represented 96% and 97% of our total investment securities portfolio as of September 30, 2024 and December 31, 2023, respectively.

The table below presents the amortized cost, allowance for credit losses, gross unrealized gains and losses, and fair value aggregated by major security type as of September 30, 2024 and December 31, 2023. Accrued interest receivable of $264 million and $227 million as of September 30, 2024 and December 31, 2023, respectively, is not included in the table below.

Table 3.1: Investment Securities Available for Sale

						September 30, 2024
(Dollars in millions)						Amortized Cost						Allowance  for Credit  Losses						Gross Unrealized Gains						Gross Unrealized Losses						Fair Value
Investment securities available for sale:
U.S. Treasury securities						$	6,035					$	0					$	10					$	(13)					$	6,032
RMBS:
Agency						72,576						0						205						(7,130)						65,651
Non-agency						576						(3)						86						(3)						656
Total RMBS						73,152						(3)						291						(7,133)						66,307
Agency CMBS						8,613						0						35						(465)						8,183
Other securities(1)						2,971						0						7						0						2,978
Total investment securities available for sale						$	90,771					$	(3)					$	343					$	(7,611)					$	83,500

						December 31, 2023
(Dollars in millions)						Amortized Cost						Allowance  for Credit  Losses						Gross Unrealized Gains						Gross Unrealized Losses						Fair Value
Investment securities available for sale:
U.S. Treasury securities						$	5,330					$	0					$	1					$	(49)					$	5,282
RMBS:
Agency						71,294						0						104						(8,450)						62,948
Non-agency						610						(4)						89						(5)						690
Total RMBS						71,904						(4)						193						(8,455)						63,638
Agency CMBS						8,961						0						14						(652)						8,323
Other securities(1)						1,868						0						6						0						1,874
Total investment securities available for sale						$	88,063					$	(4)					$	214					$	(9,156)					$	79,117

__________    

(1)Includes $2.4 billion and $1.4 billion of asset-backed securities (“ABS”) as of September 30, 2024 and December 31, 2023, respectively. The remaining amount is primarily comprised of supranational bonds, foreign government bonds and U.S. agency debt bonds.

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Investment Securities in a Gross Unrealized Loss Position

The table below provides the gross unrealized losses and fair value of our securities available for sale aggregated by major security type and the length of time that individual securities have been in a continuous unrealized loss position as of September 30, 2024 and December 31, 2023. The amounts include securities available for sale without an allowance for credit losses.

Table 3.2: Securities in a Gross Unrealized Loss Position

						September 30, 2024
						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 without an allowance for credit losses:
U.S. Treasury securities						$	3,772					$	(4)					$	1,331					$	(9)					$	5,103					$	(13)
RMBS:
Agency						1,807						(10)						52,413						(7,120)						54,220						(7,130)
Non-agency						4						0						10						0						14						0
Total RMBS						1,811						(10)						52,423						(7,120)						54,234						(7,130)
Agency CMBS						192						(1)						5,966						(464)						6,158						(465)
Other securities						776						0						4						0						780						0
Total investment securities available for sale in a gross unrealized loss position without an allowance for credit losses(1)						$	6,551					$	(15)					$	59,724					$	(7,593)					$	66,275					$	(7,608)

						December 31, 2023
						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 without an allowance for credit losses:
U.S. Treasury securities						$	733					$	0					$	2,242					$	(49)					$	2,975					$	(49)
RMBS:
Agency						3,511						(43)						53,987						(8,407)						57,498						(8,450)
Non-agency						1						0						13						(1)						14						(1)
Total RMBS						3,512						(43)						54,000						(8,408)						57,512						(8,451)
Agency CMBS						547						(7)						6,465						(645)						7,012						(652)
Other securities						276						0						4						0						280						0
Total investment securities available for sale in a gross unrealized loss position without an allowance for credit losses(1)						$	5,068					$	(50)					$	62,711					$	(9,102)					$	67,779					$	(9,152)

__________

(1)    Consists of approximately 2,500 and 2,740 securities in gross unrealized loss positions as of September 30, 2024 and December 31, 2023, respectively.

Maturities and Yields of Investment Securities

The table below summarizes, as of September 30, 2024, the fair value of our investment securities by major security type and contractual maturity as well as the total fair value, amortized cost and weighted-average yields of our investment securities by contractual maturity. Since borrowers may have the right to call or prepay certain obligations, the expected maturities of our securities are likely to differ from the scheduled contractual maturities presented below. The weighted-average yield below represents the effective yield for the investment securities presented on a pre-tax basis and is calculated based on the amortized cost of each security, inclusive of the contractual coupon, the impact of any premium amortization or discount accretion and any hedge accounting relationships.

			88			Capital One Financial Corporation (COF)

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Table 3.3: Contractual Maturities and Weighted-Average Yields of Securities

						September 30, 2024
(Dollars in millions)						Due in 1 Year or Less						Due > 1 Year through 5 Years						Due > 5 Years through 10 Years						Due > 10 Years						Total
Fair value of securities available for sale:
U.S. Treasury securities						$	3,334					$	1,254					$	1,444					$	0					$	6,032
RMBS(1):
Agency						1						74						1,099						64,477						65,651
Non-agency						0						0						12						644						656
Total RMBS						1						74						1,111						65,121						66,307
Agency CMBS(1)						515						2,930						2,758						1,980						8,183
Other securities						344						2,617						17						0						2,978
Total securities available for sale						$	4,194					$	6,875					$	5,330					$	67,101					$	83,500
Amortized cost of securities available for sale						$	4,204					$	6,980					$	5,569					$	74,018					$	90,771
Weighted-average yield for securities available for sale						4.74%						4.07%						3.89%						3.16%						3.35%

__________

(1)As of September 30, 2024, the weighted-average expected maturities of RMBS and Agency CMBS were 7.4 years and 4.9 years, respectively.

Net Securities Gains or Losses and Proceeds from Sales

For the three and nine months ended September 30, 2024, total proceeds from sales of our securities were $175 million with losses of $35 million. We had no sales of securities for the three and nine months ended September 30, 2023.

Securities Pledged and Received

We pledged investment securities totaling $40.1 billion and $45.1 billion as of September 30, 2024 and December 31, 2023, respectively. These securities are primarily pledged to support our access to FHLB advances and Public Fund Deposits, as well as for other purposes as required or permitted by law. We accepted pledges of securities with a fair value of approximately $11 million and $16 million as of September 30, 2024 and December 31, 2023, respectively, related to our derivative transactions.

			89			Capital One Financial Corporation (COF)

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NOTE 4—LOANS

Our loan portfolio consists of loans held for investment, including loans held in our consolidated trusts, and loans held for sale. We further divide our loans held for investment into three portfolio segments: Credit Card, Consumer Banking and Commercial Banking. Credit card loans consist of domestic and international credit card loans. Consumer banking loans consist of auto and retail banking loans. Commercial banking loans consist of commercial and multifamily real estate as well as commercial and industrial loans. The information presented in the tables in this note excludes loans held for sale, which are carried at either fair value (if we elect the fair value option) or at the lower of cost or fair value.

Accrued interest receivable of $2.2 billion as of both September 30, 2024 and December 31, 2023, is not included in the tables in this note. The table below presents the composition and aging analysis of our loans held for investment portfolio as of September 30, 2024 and December 31, 2023. The delinquency aging includes all past due loans, both performing and nonperforming.

Table 4.1: Loan Portfolio Composition and Aging Analysis

						September 30, 2024
												Delinquent Loans
(Dollars in millions)						Current						30-59 Days						60-89 Days						> 90 Days						Total Delinquent Loans						Total Loans
Credit Card:
Domestic credit card						$	142,633					$	1,982					$	1,469					$	3,316					$	6,767					$	149,400
International card businesses						6,914						116						75						146						337						7,251
Total credit card						149,547						2,098						1,544						3,462						7,104						156,651
Consumer Banking:
Auto						70,682						2,895						1,452						476						4,823						75,505
Retail banking						1,229						13						2						9						24						1,253
Total consumer banking						71,911						2,908						1,454						485						4,847						76,758
Commercial Banking:
Commercial and multifamily real estate						32,016						114						20						49						183						32,199
Commercial and industrial						54,320						114						54						147						315						54,635
Total commercial banking						86,336						228						74						196						498						86,834
Total loans(1)						$	307,794					$	5,234					$	3,072					$	4,143					$	12,449					$	320,243
% of Total loans						96.11%						1.64%						0.96%						1.29%						3.89%						100.00%

    

						December 31, 2023
												Delinquent Loans
(Dollars in millions)						Current						30-59 Days						60-89 Days						> 90 Days						Total Delinquent Loans						Total Loans
Credit Card:
Domestic credit card						$	140,860					$	1,968					$	1,471					$	3,367					$	6,806					$	147,666
International card businesses						6,552						116						76						137						329						6,881
Total credit card						147,412						2,084						1,547						3,504						7,135						154,547
Consumer Banking:
Auto						68,768						3,268						1,555						484						5,307						74,075
Retail banking						1,329						15						3						15						33						1,362
Total consumer banking						70,097						3,283						1,558						499						5,340						75,437

			90			Capital One Financial Corporation (COF)

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						December 31, 2023
												Delinquent Loans
(Dollars in millions)						Current						30-59 Days						60-89 Days						> 90 Days						Total Delinquent Loans						Total Loans
Commercial Banking:
Commercial and multifamily real estate						34,325						0						14						107						121						34,446
Commercial and industrial						55,861						0						0						181						181						56,042
Total commercial banking						90,186						0						14						288						302						90,488
Total loans(1)						$	307,695					$	5,367					$	3,119					$	4,291					$	12,777					$	320,472
% of Total loans						96.01%						1.68%						0.97%						1.34%						3.99%						100.00%

__________

(1)Loans include unamortized premiums, discounts, and deferred fees and costs totaling $1.3 billion and $1.4 billion as of September 30, 2024 and December 31, 2023, respectively.

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The following table presents our loans held for investment that are 90 days or more past due that continue to accrue interest, loans that are classified as nonperforming and loans that are classified as nonperforming without an allowance as of September 30, 2024 and December 31, 2023. Nonperforming loans generally include loans that have been placed on nonaccrual status.

Table 4.2: 90+ Day Delinquent Loans Accruing Interest and Nonperforming Loans

						September 30, 2024																		December 31, 2023
(Dollars in millions)						> 90 Days and Accruing						Nonperforming Loans(1)						Nonperforming  Loans Without an Allowance						> 90 Days and Accruing						Nonperforming Loans(1)						Nonperforming  Loans Without an Allowance
Credit Card:
Domestic credit card						$	3,316					N/A						$	0					$	3,367					N/A						$	0
International card businesses						140						$	11					0						132						$	9					0
Total credit card						3,456						11						0						3,499						9						0
Consumer Banking:
Auto						0						685						0						0						712						0
Retail banking						0						27						14						0						46						19
Total consumer banking						0						712						14						0						758						19
Commercial Banking:
Commercial and multifamily real estate						0						630						314						0						425						335
Commercial and industrial						0						718						552						55						336						193
Total commercial banking						0						1,348						866						55						761						528
Total						$	3,456					$	2,071					$	880					$	3,554					$	1,528					$	547
% of Total loans held for investment						1.08		%				0.65		%				0.27		%				1.11		%				0.48		%				0.17		%

__________

(1)We recognized interest income for loans classified as nonperforming of $6 million and $70 million for the three and nine months ended September 30, 2024, respectively, and $11 million and $47 million for the three and nine months ended September 30, 2023, respectively.

			92			Capital One Financial Corporation (COF)

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Credit Quality Indicators

We closely monitor economic conditions and loan performance trends to assess and manage our exposure to credit risk. We discuss these risks and our credit quality indicator for each portfolio segment below.

Credit Card

Our credit card loan portfolio is highly diversified across millions of accounts and numerous geographies without significant individual exposure. We therefore generally manage credit risk based on portfolios with common risk characteristics. The risk in our credit card loan portfolio correlates to broad economic trends, such as the U.S. unemployment rate and U.S. Real Gross Domestic Product (“GDP”) growth rate, as well as consumers’ financial condition, all of which can have a material effect on credit performance. The key indicator we assess in monitoring the credit quality and risk of our credit card loan portfolio is delinquency trends, including an analysis of loan migration between delinquency categories over time.

The table below presents our credit card portfolio by delinquency status as of September 30, 2024 and December 31, 2023.

Table 4.3: Credit Card Delinquency Status

												September 30, 2024																		December 31, 2023
(Dollars in millions)												Revolving Loans						Revolving Loans Converted to Term						Total						Revolving Loans						Revolving Loans Converted to Term						Total
Credit Card:
Domestic credit card:
Current												$	142,201					$	432					$	142,633					$	140,521					$	339					$	140,860
30-59 days												1,952						30						1,982						1,940						28						1,968
60-89 days												1,450						19						1,469						1,454						17						1,471
Greater than 90 days												3,289						27						3,316						3,339						28						3,367
Total domestic credit card												148,892						508						149,400						147,254						412						147,666
International card businesses:
Current												6,877						37						6,914						6,521						31						6,552
30-59 days												111						5						116						112						4						116
60-89 days												71						4						75						72						4						76
Greater than 90 days												142						4						146						132						5						137
Total international card businesses												7,201						50						7,251						6,837						44						6,881
Total credit card												$	156,093					$	558					$	156,651					$	154,091					$	456					$	154,547

			93			Capital One Financial Corporation (COF)

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Consumer Banking

Our consumer banking loan portfolio consists of auto and retail banking loans. Similar to our credit card loan portfolio, the risk in our consumer banking loan portfolio correlates to broad economic trends as well as consumers’ financial condition, all of which can have a material effect on credit performance. The key indicator we consider when assessing the credit quality and risk of our auto loan portfolio is borrower credit scores as they measure the creditworthiness of borrowers. Delinquency trends are the key indicator we assess in monitoring the credit quality and risk of our retail banking loan portfolio.

The table below presents our consumer banking portfolio of loans held for investment by credit quality indicator as of September 30, 2024 and December 31, 2023. We present our auto loan portfolio by Fair Isaac Corporation (“FICO”) scores at origination and our retail banking loan portfolio by delinquency status, which includes all past due loans, both performing and nonperforming.

Table 4.4: Consumer Banking Portfolio by Vintage Year

						September 30, 2024
						Term Loans by Vintage Year
(Dollars in millions)						2024						2023						2022						2021						2020						Prior						Total Term Loans						Revolving Loans						Revolving Loans Converted to Term						Total
Auto—At origination FICO scores:(1)
Greater than 660						$	12,790					$	9,219					$	9,214					$	6,501					$	1,832					$	578					$	40,134					$	0					$	0					$	40,134
621-660						4,316						3,827						3,262						2,291						811						330						14,837						0						0						14,837
620 or below						6,045						5,331						4,071						2,935						1,453						699						20,534						0						0						20,534
Total auto						23,151						18,377						16,547						11,727						4,096						1,607						75,505						0						0						75,505
Retail banking—Delinquency status:
Current						113						78						92						52						54						494						883						342						4						1,229
30-59 days						0						0						0						0						0						2						2						11						0						13
60-89 days						0						0						0						0						0						0						0						2						0						2
Greater than 90 days						0						0						0						0						1						7						8						1						0						9
Total retail banking						113						78						92						52						55						503						893						356						4						1,253
Total consumer banking						$	23,264					$	18,455					$	16,639					$	11,779					$	4,151					$	2,110					$	76,398					$	356					$	4					$	76,758

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						December 31, 2023
						Term Loans by Vintage Year
(Dollars in millions)						2023						2022						2021						2020						2019						Prior						Total Term Loans						Revolving Loans						Revolving Loans Converted to Term						Total
Auto—At origination FICO scores:(1)
Greater than 660						$	12,219					$	12,593					$	9,505					$	3,124					$	1,213					$	309					$	38,963					$	0					$	0					$	38,963
621-660						4,863						4,432						3,346						1,337						592						192						14,762						0						0						14,762
620 or below						6,647						5,539						4,283						2,349						1,131						401						20,350						0						0						20,350
Total auto						23,729						22,564						17,134						6,810						2,936						902						74,075						0						0						74,075
Retail banking—Delinquency status:
Current						98						157						57						65						117						468						962						363						4						1,329
30-59 days						1						0						1						1						0						1						4						11						0						15
60-89 days						0						0						0						0						0						1						1						2						0						3
Greater than 90 days						0						0						0						0						0						8						8						6						1						15
Total retail banking						99						157						58						66						117						478						975						382						5						1,362
Total consumer banking						$	23,828					$	22,721					$	17,192					$	6,876					$	3,053					$	1,380					$	75,050					$	382					$	5					$	75,437

__________

(1)Amounts represent period-end loans held for investment in each credit score category. Auto credit scores generally represent average FICO scores obtained from three credit bureaus at the time of application and are not refreshed thereafter. Balances for which no credit score is available or the credit score is invalid are included in the 620 or below category.

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Commercial Banking

The key credit quality indicator for our commercial loan portfolios is our internal risk ratings. We assign internal risk ratings to loans based on relevant information about the ability of the borrowers to repay their debt. In determining the risk rating of a particular loan, some of the factors considered are the borrower’s current financial condition, historical and projected future credit performance, prospects for support from financially responsible guarantors, the estimated realizable value of any collateral and current economic trends. The scale based on our internal risk rating system is as follows:

•Noncriticized: Loans that have not been designated as criticized, frequently referred to as “pass” loans.

•Criticized performing: Loans in which the financial condition of the obligor is stressed, affecting earnings, cash flows or collateral values. The borrower currently has adequate capacity to meet near-term obligations; however, the stress, left unabated, may result in deterioration of the repayment prospects at some future date.

•Criticized nonperforming: Loans that are not adequately protected by the current net worth and paying capacity of the obligor or the collateral pledged, if any. Loans classified as criticized nonperforming have a well-defined weakness, or weaknesses, which jeopardize the full repayment of the debt. These loans are characterized by the distinct possibility that we will sustain a credit loss if the deficiencies are not corrected and are generally placed on nonaccrual status.

We use our internal risk rating system for regulatory reporting, determining the frequency of credit exposure reviews, and evaluating and determining the allowance for credit losses. Generally, loans that are designated as criticized performing and criticized nonperforming are reviewed quarterly by management to determine if they are appropriately classified/rated and whether any impairment exists. Noncriticized loans are also generally reviewed, at least annually, to determine the appropriate risk rating. In addition, we evaluate the risk rating during the renewal process of any loan or if a loan becomes past due.

The following table presents our commercial banking portfolio of loans held for investment by internal risk ratings as of September 30, 2024 and December 31, 2023. The internal risk rating status includes all past due loans, both performing and nonperforming.

Table 4.5: Commercial Banking Portfolio by Internal Risk Ratings

						September 30, 2024
						Term Loans by Vintage Year
(Dollars in millions)						2024						2023						2022						2021						2020						Prior						Total Term Loans						Revolving Loans						Revolving Loans Converted to Term						Total
Internal risk rating:(1)
Commercial and multifamily real estate
Noncriticized						$	1,262					$	2,300					$	3,643					$	2,265					$	965					$	5,096					$	15,531					$	12,591					$	50					$	28,172
Criticized performing						53						91						1,525						294						128						1,048						3,139						161						97						3,397
Criticized nonperforming						23						0						14						141						83						341						602						28						0						630
Total commercial and multifamily real estate						1,338						2,391						5,182						2,700						1,176						6,485						19,272						12,780						147						32,199
Commercial and industrial
Noncriticized						4,106						6,046						10,197						5,770						2,762						7,001						35,882						14,637						144						50,663
Criticized performing						6						193						781						811						118						367						2,276						978						0						3,254
Criticized nonperforming						62						13						128						17						189						120						529						189						0						718
Total commercial and industrial						4,174						6,252						11,106						6,598						3,069						7,488						38,687						15,804						144						54,635
Total commercial banking						$	5,512					$	8,643					$	16,288					$	9,298					$	4,245					$	13,973					$	57,959					$	28,584					$	291					$	86,834

			96			Capital One Financial Corporation (COF)

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						December 31, 2023
						Term Loans by Vintage Year
(Dollars in millions)						2023						2022						2021						2020						2019						Prior						Total Term Loans						Revolving Loans						Revolving Loans Converted to Term						Total
Internal risk rating:(1)
Commercial and multifamily real estate
Noncriticized						$	3,068					$	4,665					$	2,773					$	1,019					$	2,104					$	3,670					$	17,299					$	12,565					$	25					$	29,889
Criticized performing						148						1,494						706						284						463						904						3,999						133						0						4,132
Criticized nonperforming						65						26						124						0						47						163						425						0						0						425
Total commercial and multifamily real estate						3,281						6,185						3,603						1,303						2,614						4,737						21,723						12,698						25						34,446
Commercial and industrial
Noncriticized						6,909						11,935						6,994						3,566						2,359						5,117						36,880						14,822						167						51,869
Criticized performing						353						706						655						237						348						349						2,648						1,189						0						3,837
Criticized nonperforming						13						53						30						18						123						68						305						31						0						336
Total commercial and industrial						7,275						12,694						7,679						3,821						2,830						5,534						39,833						16,042						167						56,042
Total commercial banking						$	10,556					$	18,879					$	11,282					$	5,124					$	5,444					$	10,271					$	61,556					$	28,740					$	192					$	90,488

__________

(1)Criticized exposures correspond to the “Special Mention,” “Substandard” and “Doubtful” asset categories defined by bank regulatory authorities.

			97			Capital One Financial Corporation (COF)

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Financial Difficulty Modifications to Borrowers

As part of our loss mitigation efforts, we may provide short-term (one to twelve months) or long-term (greater than twelve months) modifications to a borrower experiencing financial difficulty to improve long-term collectability of the loan and to avoid the need for repossession or foreclosure of collateral.

We consider the impact of all loan modifications when estimating the credit quality of our loan portfolio and establishing allowance levels. For our Commercial Banking customers, loan modifications are also considered in the assignment of an internal risk rating.

For additional information on Financial Difficulty Modifications (“FDMs”), see “Part II—Item 8. Financial Statements and Supplementary Data—Note 1—Summary of Significant Accounting Policies” in our 2023 Form 10-K.

The following tables present the major modification types, amortized cost amounts for each modification type and financial effects for all FDMs undertaken during the three and nine months ended September 30, 2024 and 2023.

Table 4.6: Financial Difficulty Modifications to Borrowers

						Three Months Ended September 30, 2024
						Credit Card																		Consumer Banking																		Commercial Banking
(Dollars in millions)						Domestic Card						International Card Businesses						Total Credit Card						Auto						Retail Banking						Total Consumer Banking						Commercial and Multifamily Real Estate						Commercial and Industrial						Total Commercial Banking						Total
Interest rate reduction						$	173					$	60					$	233					—						—						—						—						$	9					$	9					$	242
Term extension						—						—						—						$	10					$	3					$	13					$	286					432						718						731
Principal balance reduction						—						—						—						9						—						9						—						—						—						9
Interest rate reduction and term extension						5						—						5						258						—						258						—						1						1						264
Other(1)						—						—						—						2						—						2						21						31						52						54
Total loans modified						$	178					$	60					$	238					$	279					$	3					$	282					$	307					$	473					$	780					$	1,300
% of total class of receivables						0.12		%				0.83		%				0.15		%				0.37		%				0.22		%				0.37		%				0.96		%				0.87		%				0.90		%				0.41		%

						Nine Months Ended September 30, 2024
						Credit Card																		Consumer Banking																		Commercial Banking
(Dollars in millions)						Domestic Card						International Card Businesses						Total Credit Card						Auto						Retail Banking						Total Consumer Banking						Commercial and Multifamily Real Estate						Commercial and Industrial						Total Commercial Banking						Total
Interest rate reduction						$	472					$	113					$	585					—						—						—						—						$	9					$	9					$	594
Term extension						—						—						—						$	17					$	4					$	21					$	513					695						1,208						1,229
Principal balance reduction						—						—						—						19						—						19						—						15						15						34
Interest rate reduction and term extension						8						—						8						573						—						573						—						7						7						588
Other(1)						—						—						—						3						1						4						159						117						276						280
Total loans modified						$	480					$	113					$	593					$	612					$	5					$	617					$	672					$	843					$	1,515					$	2,725
% of total class of receivables						0.32		%				1.56		%				0.38		%				0.81		%				0.42		%				0.80		%				2.09		%				1.54		%				1.74		%				0.85		%

						Three Months Ended September 30, 2023
						Credit Card																		Consumer Banking																		Commercial Banking
(Dollars in millions)						Domestic Card						International Card Businesses						Total Credit Card						Auto						Retail Banking						Total Consumer Banking						Commercial and Multifamily Real Estate						Commercial and Industrial						Total Commercial Banking						Total
Interest rate reduction						$	200					$	42					$	242					—						—						—						—						—						—						$	242
Term extension						—						—						—						$	14					$	2					$	16					$	128					$	147					$	275					291
Principal balance reduction						—						—						—						8						—						8						—						—						—						8
Interest rate reduction and term extension						7						—						7						248						—						248						—						26						26						281
Other(1)						—						—						—						2						7						9						—						56						56						65
Total loans modified						$	207					$	42					$	249					$	272					$	9					$	281					$	128					$	229					$	357					$	887
% of total class of receivables						0.15		%				0.65		%				0.17		%				0.36		%				0.62		%				0.36		%				0.36		%				0.41		%				0.39		%				0.28		%

			98			Capital One Financial Corporation (COF)

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						Nine Months Ended September 30, 2023
						Credit Card																		Consumer Banking																		Commercial Banking
(Dollars in millions)						Domestic Card						International Card Businesses						Total Credit Card						Auto						Retail Banking						Total Consumer Banking						Commercial and Multifamily Real Estate						Commercial and Industrial						Total Commercial Banking						Total
Interest rate reduction						$	437					$	76					$	513					—						—						—						—						—						—						$	513
Term extension						—						—						—						$	76					$	3					$	79					$	327					$	347					$	674					753
Principal balance reduction						—						—						—						17						—						17						—						—						—						17
Principal balance reduction and term extension						—						—						—						—						—						—						—						15						15						15
Interest rate reduction and term extension						10						—						10						504						—						504						—						26						26						540
Other(1)						—						—						—						3						7						10						54						151						205						215
Total loans modified						$	447					$	76					$	523					$	600					$	10					$	610					$	381					$	539					$	920					$	2,053
% of total class of receivables						0.32		%				1.17		%				0.36		%				0.79		%				0.75		%				0.79		%				1.07		%				0.97		%				1.01		%				0.65		%

__________

(1)Primarily consists of modifications or combinations of modifications not categorized above, such as increases in committed exposure, forbearances and other types of modifications in Commercial Banking.

Table 4.7: Financial Effects of Financial Difficulty Modifications to Borrowers

						Three Months Ended September 30, 2024
						Credit Card												Consumer Banking												Commercial Banking
(Dollars in millions)						Domestic Card						International Card Businesses												Auto						Retail Banking												Commercial and Multifamily Real Estate						Commercial and Industrial
Weighted-average interest rate reduction						20.49%						27.01%												8.83%						—%												—%						2.14%
Payment delay duration (in months)						12						—												6						25												18						18
Principal balance reduction						—						—												—						—												—						—

						Nine Months Ended September 30, 2024
						Credit Card															Consumer Banking																		Commercial Banking
						Domestic Card						International Card Businesses												Auto						Retail Banking												Commercial and Multifamily Real Estate						Commercial and Industrial
Weighted-average interest rate reduction						20.19%						26.76%												8.78%						3.48%												0.79%						1.90%
Payment delay duration (in months)						12						—												6						4												11						16
Principal balance reduction						—						—												—						—												—						$15

						Three Months Ended September 30, 2023
						Credit Card																		Consumer Banking																		Commercial Banking
						Domestic Card						International Card Businesses												Auto						Retail Banking												Commercial and Multifamily Real Estate						Commercial and Industrial
Weighted-average interest rate reduction						19.40%						27.41%												8.67%						—%												—%						0.25%
Payment delay duration (in months)						12						—												6						8												11						17
Principal balance reduction						—						—												—						—												—						—

						Nine Months Ended September 30, 2023
						Credit Card																		Consumer Banking																		Commercial Banking
						Domestic Card						International Card Businesses												Auto						Retail Banking												Commercial and Multifamily Real Estate						Commercial and Industrial
Weighted-average interest rate reduction						19.19%						27.08%												8.74%						2.00%												—%						0.25%
Payment delay duration (in months)						12						—												6						13												15						9
Principal balance reduction						—						—												$1						—												$20						$3

			99			Capital One Financial Corporation (COF)

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Performance of Financial Difficulty Modifications to Borrowers

We monitor loan performance trends, including FDMs, to assess and manage our exposure to credit risk. See “Part II—Item 8. Financial Statements and Supplementary Data—Note 1—Summary of Significant Accounting Policies” in our 2023 Form 10-K for additional information on how the allowance for modified loans is calculated for each portfolio segment. FDMs are accumulated and the performance of each loan that received an FDM is reported on a rolling twelve month basis.

For the interim reporting period ended September 30, 2024, the delinquency status as of this date is shown in the table below for FDMs entered into over the preceding twelve month period. For the interim reporting period ended September 30, 2023, the delinquency status as of this date is shown in the table below for FDMs entered into during the first nine months of 2023.

Table 4.8 Delinquency Status of Financial Difficulty Modifications to Borrowers(1)

						September 30, 2024
												Delinquent Loans
(Dollars in millions)						Current						30-59 Days						60-89 Days						> 90 Days						Total Delinquent Loans						Total Loans
Credit Card:
Domestic credit card						$	423					$	60					$	45					$	88					$	193					$	616
International card businesses						68						12						11						37						60						128
Total credit card						491						72						56						125						253						744
Consumer Banking:
Auto						560						112						71						28						211						771
Retail banking						10						0						0						0						0						10
Total consumer banking						570						112						71						28						211						781
Commercial Banking:
Commercial and multifamily real estate						646						0						0						28						28						674
Commercial and industrial						768						74						4						65						143						911
Total commercial banking						1,414						74						4						93						171						1,585
Total						$	2,475					$	258					$	131					$	246					$	635					$	3,110

			100			Capital One Financial Corporation (COF)

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						September 30, 2023
												Delinquent Loans
(Dollars in millions)						Current						30-59 Days						60-89 Days						> 90 Days						Total Delinquent Loans						Total Loans
Credit Card:
Domestic credit card						$	283					$	65					$	40					$	59					$	164					$	447
International card businesses						35						8						8						25						41						76
Total credit card						318						73						48						84						205						523
Consumer Banking:
Auto						457						79						46						18						143						600
Retail banking						10						0						0						0						0						10
Total consumer banking						467						79						46						18						143						610
Commercial Banking:
Commercial and multifamily real estate						318						0						0						63						63						381
Commercial and industrial						417						4						0						118						122						539
Total commercial banking						735						4						0						181						185						920
Total						$	1,520					$	156					$	94					$	283					$	533					$	2,053

__________

(1)Commitments to lend additional funds on FDMs totaled $263 million and $75 million as of September 30, 2024 and 2023, respectively.

Subsequent Defaults of Financial Difficulty Modifications to Borrowers

FDMs may subsequently enter default. A default occurs if a FDM is either 90 days or more delinquent, has been charged off, or has been reclassified from accrual to nonaccrual status. Loans that entered a modification program while in default are not considered to have subsequently defaulted for purposes of this disclosure. The allowance for any FDMs that have subsequently defaulted is measured using the same methodology as the allowance for loans held for investment. See “Part II—Item 8.—Financial Statements and Supplementary Data—Note 1—Summary of Significant Accounting Policies” in our 2023 Form 10-K for additional information.

			101			Capital One Financial Corporation (COF)

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The following table presents FDMs that entered subsequent default for the three and nine months ended September 30, 2024 and 2023.

Table 4.9 Subsequent Defaults of Financial Difficulty Modifications to Borrowers

						Three Months Ended September 30, 2024
(Dollars in millions)						Interest Rate Reduction						Term Extension												Interest Rate Reduction and Term Extension						Other Modifications						Total Loans
Credit Card:
Domestic credit card						$	52					$	0											$	0					$	0					$	52
International card businesses						21						0												0						0						21
Total credit card						73						0												0						0						73
Consumer Banking:
Auto						0						1												110						0						111
Retail banking						0						0												0						0						0
Total consumer banking						0						1												110						0						111
Commercial Banking:
Commercial and multifamily real estate						0						103												0						28						131
Commercial and industrial						0						0												0						0						0
Total commercial banking						0						103												0						28						131
Total						$	73					$	104											$	110					$	28					$	315

						Nine Months Ended September 30, 2024
(Dollars in millions)						Interest Rate Reduction						Term Extension												Interest Rate Reduction and Term Extension						Other Modifications						Total Loans
Credit Card:
Domestic credit card						$	179					$	0											$	2					$	0					$	181
International card businesses						56						0												0						0						56
Total credit card						235						0												2						0						237
Consumer Banking:
Auto						0						6												329						0						335
Retail banking						0						1												0						0						1
Total consumer banking						0						7												329						0						336
Commercial Banking:
Commercial and multifamily real estate						0						103												0						28						131
Commercial and industrial						0						125												0						255						380
Total commercial banking						0						228												0						283						511
Total						$	235					$	235											$	331					$	283					$	1,084

			102			Capital One Financial Corporation (COF)

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						Three Months Ended September 30, 2023
(Dollars in millions)						Interest Rate Reduction						Term Extension												Interest Rate Reduction and Term Extension												Total Loans
Credit Card:
Domestic credit card						$	17					$	0											$	0											$	17
International card businesses						6						0												0												6
Total credit card						23						0												0												23
Consumer Banking:
Auto						0						7												77												84
Total consumer banking						0						7												77												84
Commercial Banking:
Commercial and multifamily real estate						0						46												0												46
Commercial and industrial						0						51												0												51
Total commercial banking						0						97												0												97
Total						$	23					$	104											$	77											$	204

						Nine Months Ended September 30, 2023
(Dollars in millions)						Interest Rate Reduction						Term Extension												Interest Rate Reduction and Term Extension												Total Loans
Credit Card:
Domestic credit card						$	39					$	0											$	0											$	39
International card businesses						9						0												0												9
Total credit card						48						0												0												48
Consumer Banking:
Auto						0						9												129												138
Total consumer banking						0						9												129												138
Commercial Banking:
Commercial and multifamily real estate						0						46												0												46
Commercial and industrial						0						51												0												51
Total commercial banking						0						97												0												97
Total						$	48					$	106											$	129											$	283

			103			Capital One Financial Corporation (COF)

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Loans Pledged

We pledged loan collateral of $7.2 billion and $7.4 billion to secure a portion of our FHLB borrowing capacity of $37.0 billion and $32.1 billion as of September 30, 2024 and December 31, 2023, respectively. We also pledged loan collateral of $82.4 billion and $78.3 billion to secure our Federal Reserve Discount Window borrowing capacity of $46.9 billion and $41.4 billion as of September 30, 2024 and December 31, 2023, respectively. In addition to loans pledged, we have securitized a portion of our credit card and auto loan portfolios. See “Note 6—Variable Interest Entities and Securitizations” for additional information.

Revolving Loans Converted to Term Loans

For the three and nine months ended September 30, 2024, we converted $267 million and $588 million of revolving loans to term loans, respectively, primarily in our domestic credit card and commercial banking loan portfolios. For the three and nine months ended September 30, 2023, we converted $101 million and $443 million of revolving loans to term loans, respectively, primarily in our domestic credit card and commercial banking loan portfolios.

			104			Capital One Financial Corporation (COF)

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NOTE 5—ALLOWANCE FOR CREDIT LOSSES AND RESERVE FOR UNFUNDED LENDING COMMITMENTS

Our allowance for credit losses represents management’s current estimate of expected credit losses over the contractual terms of our loans held for investment as of each balance sheet date. Expected recoveries of amounts previously charged off or expected to be charged off are recognized within the allowance. Significant judgment is applied in our estimation of lifetime credit losses. When developing an estimate of expected credit losses, we use both quantitative and qualitative methods in considering all available information relevant to assessing collectability. This may include internal information, external information, or a combination of both relating to past events, current conditions and reasonable and supportable forecasts. Our estimate of expected credit losses includes a reasonable and supportable forecast period of one year and then reverts over a one-year period to historical losses at each relevant loss component of the estimate. Management will consider and may qualitatively adjust for conditions, changes and trends in loan portfolios that may not be captured in modeled results. These adjustments are referred to as qualitative factors and represent management’s judgment of the imprecision and risks inherent in the processes and assumptions used in establishing the allowance for credit losses.

We have unfunded lending commitments in our Commercial Banking business that are not unconditionally cancellable by us and for which we estimate expected credit losses in establishing a reserve. This reserve is measured using the same measurement objectives as the allowance for loans held for investment. We build or release the reserve for unfunded lending commitments through the provision for credit losses in our consolidated statements of income, and the related reserve for unfunded lending commitments is included in other liabilities on our consolidated balance sheets.

See “Part II—Item 8. Financial Statements and Supplementary Data—Note 1—Summary of Significant Accounting Policies” in our 2023 Form 10-K for further discussion of the methodology and policies for determining our allowance for credit losses for each of our loan portfolio segments, as well as information on our reserve for unfunded lending commitments.

Allowance for Credit Losses and Reserve for Unfunded Lending Commitments Activity

The table below summarizes changes in the allowance for credit losses and reserve for unfunded lending commitments by portfolio segment for the three and nine months ended September 30, 2024 and 2023. Our allowance for credit losses increased by $1.2 billion to $16.5 billion as of September 30, 2024 from December 31, 2023.

Table 5.1: Allowance for Credit Losses and Reserve for Unfunded Lending Commitments Activity

						Three Months Ended September 30, 2024
(Dollars in millions)						Credit Card						Consumer Banking						Commercial Banking												Total
Allowance for credit losses:
Balance as of June 30, 2024						$	13,040					$	2,065					$	1,544											$	16,649
Charge-offs						(2,632)						(707)						(88)												(3,427)
Recoveries(1)						478						306						39												823
Net charge-offs						(2,154)						(401)						(49)												(2,604)
Provision for credit losses						2,084						351						35												2,470
Allowance release for credit losses						(70)						(50)						(14)												(134)
Other changes(2)						19						0						0												19
Balance as of September 30, 2024						12,989						2,015						1,530												16,534
Reserve for unfunded lending commitments:
Balance as of June 30, 2024						0						0						129												129
Provision for losses on unfunded lending commitments						0						0						13												13
Balance as of September 30, 2024						0						0						142												142
Combined allowance and reserve as of September 30, 2024						$	12,989					$	2,015					$	1,672											$	16,676

			105			Capital One Financial Corporation (COF)

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						Nine Months Ended September 30, 2024
(Dollars in millions)						Credit Card						Consumer Banking						Commercial Banking												Total
Allowance for credit losses:
Balance as of December 31, 2023						$	11,709					$	2,042					$	1,545											$	15,296
Charge-offs						(7,892)						(2,003)						(166)												(10,061)
Recoveries(1)						1,273						869						55												2,197
Net charge-offs						(6,619)						(1,134)						(111)												(7,864)
Provision for credit losses						7,888						1,107						96												9,091
Allowance build (release) for credit losses(3)						1,269						(27)						(15)												1,227
Other changes(2)						11						0						0												11
Balance as of September 30, 2024						12,989						2,015						1,530												16,534
Reserve for unfunded lending commitments:
Balance as of December 31, 2023						0						0						158												158
Provision (benefit) for losses on unfunded lending commitments						0						0						(16)												(16)
Balance as of September 30, 2024						0						0						142												142
Combined allowance and reserve as of September 30, 2024						$	12,989					$	2,015					$	1,672											$	16,676

						Three Months Ended September 30, 2023
(Dollars in millions)						Credit Card						Consumer Banking						Commercial Banking												Total
Allowance for credit losses:
Balance as of June 30, 2023						$	10,976					$	2,185					$	1,485											$	14,646
Charge-offs						(1,925)						(596)						(60)												(2,581)
Recoveries(1)						333						247						2												582
Net charge-offs						(1,592)						(349)						(58)												(1,999)
Provision for credit losses						1,953						213						155												2,321
Allowance build (release) for credit losses						361						(136)						97												322
Other changes(2)						(13)						0						0												(13)
Balance as of September 30, 2023						11,324						2,049						1,582												14,955
Reserve for unfunded lending commitments:
Balance as of June 30, 2023						0						0						197												197
Provision (benefit) for losses on unfunded lending commitments						0						0						(39)												(39)
Balance as of September 30, 2023						0						0						158												158
Combined allowance and reserve as of September 30, 2023						$	11,324					$	2,049					$	1,740											$	15,113

			106			Capital One Financial Corporation (COF)

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						Nine Months Ended September 30, 2023
(Dollars in millions)						Credit Card						Consumer Banking						Commercial Banking												Total
Allowance for credit losses:
Balance as of December 31, 2022						$	9,545					$	2,237					$	1,458											$	13,240
Cumulative effects of accounting standards adoption(4)						(63)						0						0												(63)
Balance as of January 1, 2023						9,482						2,237						1,458												13,177
Charge-offs						(5,481)						(1,653)						(462)												(7,596)
Recoveries(1)						992						718						5												1,715
Net charge-offs						(4,489)						(935)						(457)												(5,881)
Provision for credit losses						6,298						747						581												7,626
Allowance build (release) for credit losses						1,809						(188)						124												1,745
Other changes(2)						33						0						0												33
Balance as of September 30, 2023						11,324						2,049						1,582												14,955
Reserve for unfunded lending commitments:
Balance as of December 31, 2022						0						0						218												218
Provision (benefit) for losses on unfunded lending commitments						0						0						(60)												(60)
Balance as of September 30, 2023						0						0						158												158
Combined allowance and reserve as of September 30, 2023						$	11,324					$	2,049					$	1,740											$	15,113

________

(1)The amount and timing of recoveries are impacted by our collection strategies, which are based on customer behavior and risk profile and include direct customer communications, repossession of collateral, the periodic sale of charged off loans as well as additional strategies, such as litigation.

(2)Primarily represents foreign currency translation adjustments in the three and nine months ended September 30, 2024 as well as the three months ended September 30, 2023. Primarily represents the initial allowance for purchased credit-deteriorated (“PCD”) loans in the nine months ended September 30, 2023. The initial allowance of PCD loans was $0 million and $32 million for the nine months ended September 30, 2024 and 2023, respectively.

(3)The termination of our Walmart program agreement, effective May 21, 2024, (“Walmart Program Termination”) resulted in an allowance for credit losses build in Domestic Card of $826 million in the second quarter of 2024.

(4)Impact from the adoption of ASU No. 2022-02, Financial Instruments - Credit Losses (Topic 326): Troubled Debt Restructurings (“TDR”) and Vintage Disclosures as of January 1, 2023.

We charge off loans when we determine that the loan is uncollectible. The amortized cost basis, excluding accrued interest, is charged off as a reduction to the allowance for credit losses in accordance with our accounting policies. For more information, see “Part II—Item 8. Financial Statements and Supplementary Data—Note 1—Summary of Significant Accounting Policies” in our 2023 Form 10-K.

Expected recoveries of amounts previously charged off or expected to be charged off are recognized within the allowance, with a corresponding reduction to our provision for credit losses.

			107			Capital One Financial Corporation (COF)

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The table below presents gross charge-offs for loans held for investment by vintage year during the nine months ended September 30, 2024.

Table 5.2: Gross Charge-Offs by Vintage Year

						Nine Months Ended September 30, 2024
						Term Loans by Vintage Year
(Dollars in millions)						2024						2023						2022						2021						2020												Prior						Total Term Loans						Revolving Loans						Revolving Loans Converted to Term						Total
Credit Card
Domestic credit card						N/A						N/A						N/A						N/A						N/A												N/A						N/A						$	7,425					$	84					$	7,509
International card business						N/A						N/A						N/A						N/A						N/A												N/A						N/A						373						10						383
Total credit card						N/A						N/A						N/A						N/A						N/A												N/A						N/A						7,798						94						7,892
Consumer Banking
Auto						$	70					$	474					$	630					$	457					$	184											$	126					$	1,941					0						0						1,941
Retail banking						1						0						0						0						0												3						4						57						1						62
Total consumer banking						71						474						630						457						184												129						1,945						57						1						2,003
Commercial Banking
Commercial and multifamily real estate						0						0						5						31						0												49						85						0						0						85
Commercial and industrial						0						0						46						5						16												4						71						10						0						81
Total commercial banking						0						0						51						36						16												53						156						10						0						166
Total						$	71					$	474					$	681					$	493					$	200											$	182					$	2,101					$	7,865					$	95					$	10,061

			108			Capital One Financial Corporation (COF)

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Credit Card Partnership Loss Sharing Arrangements

We have certain credit card partnership agreements that are presented within our consolidated financial statements on a net basis, in which our partner agrees to share a portion of the credit losses on the underlying loan portfolio. The expected reimbursements from these partners are netted against our allowance for credit losses. Our methodology for estimating reimbursements is consistent with the methodology we use to estimate the allowance for credit losses on our credit card loan receivables. These expected reimbursements result in reductions in net charge-offs and the provision for credit losses. See “Part II—Item 8. Financial Statements and Supplementary Data—Note 1—Summary of Significant Accounting Policies” in our 2023 Form 10-K for further discussion of our credit card partnership agreements.

The table below summarizes the changes in the estimated reimbursements from these partners for the three and nine months ended September 30, 2024 and 2023.

Table 5.3: Summary of Credit Card Partnership Loss Sharing Arrangements Impacts

						Three Months Ended September 30,
(Dollars in millions)						2024						2023
Estimated reimbursements from partners, beginning of period						$	1,210					$	1,908
Amounts due from partners for charged off loans						(157)						(249)
Change in estimated partner reimbursements that decreased provision for credit losses						102						319
Estimated reimbursements from partners, end of period						$	1,155					$	1,978

						Nine Months Ended September 30,
(Dollars in millions)						2024						2023
Estimated reimbursements from partners, beginning of period						$	2,014					$	1,558
Amounts due from partners for charged off loans						(734)						(681)
Change in estimated partner reimbursements that (increased) decreased provision for credit losses						(125)						1,101
Estimated reimbursements from partners, end of period						$	1,155					$	1,978

			109			Capital One Financial Corporation (COF)

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NOTE 6—VARIABLE INTEREST ENTITIES AND SECURITIZATIONS

In the normal course of business, we enter into various types of transactions with entities that are considered to be variable interest entities (“VIEs”). Our primary involvement with VIEs is related to our securitization transactions in which we transfer assets to securitization trusts. We primarily securitize credit card and auto loans, which provide a source of funding for us and enable us to transfer a certain portion of the economic risk of the loans or related debt securities to third parties.

The entity that has a controlling financial interest in a VIE is referred to as the primary beneficiary and is required to consolidate the VIE. The majority of the VIEs in which we are involved have been consolidated in our financial statements.

Summary of Consolidated and Unconsolidated VIEs

The assets of our consolidated VIEs primarily consist of cash, loan receivables and the related allowance for credit losses, which we report on our consolidated balance sheets under restricted cash for securitization investors, loans held in consolidated trusts and allowance for credit losses, respectively. The assets of a particular VIE are the primary source of funds to settle its obligations. Creditors of these VIEs typically do not have recourse to our general credit. Liabilities primarily consist of debt securities issued by the VIEs, which we report under securitized debt obligations on our consolidated balance sheets. For unconsolidated VIEs, we present the carrying amount of assets and liabilities reflected on our consolidated balance sheets and our maximum exposure to loss. Our maximum exposure to loss is estimated based on the unlikely event that all of the assets in the VIEs become worthless and we are required to meet the maximum amount of any remaining funding obligations.

The tables below present a summary of VIEs in which we had continuing involvement or held a significant variable interest, aggregated based on VIEs with similar characteristics as of September 30, 2024 and December 31, 2023. We separately present information for consolidated and unconsolidated VIEs.

Table 6.1: Carrying Amount of Consolidated and Unconsolidated VIEs

						September 30, 2024
						Consolidated												Unconsolidated
(Dollars in millions)						Carrying Amount of Assets						Carrying Amount of Liabilities						Carrying Amount of Assets						Carrying Amount of Liabilities						Maximum Exposure to Loss
Securitization-Related VIEs:(1)
Credit card loan securitizations(2)						$	24,000					$	13,495					$	0					$	0					$	0
Auto loan securitizations						3,473						2,788						0						0						0
Total securitization-related VIEs						27,473						16,283						0						0						0
Other VIEs:(3)
Affordable housing entities						354						75						5,469						1,890						5,469
Entities that provide capital to low-income and rural communities						2,639						10						0						0						0
Other(4)						0						0						385						8						385
Total other VIEs						2,993						85						5,854						1,898						5,854
Total VIEs						$	30,466					$	16,368					$	5,854					$	1,898					$	5,854

			110			Capital One Financial Corporation (COF)

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						December 31, 2023
						Consolidated												Unconsolidated
(Dollars in millions)						Carrying Amount of Assets						Carrying Amount of Liabilities						Carrying Amount of Assets						Carrying Amount of Liabilities						Maximum Exposure to Loss
Securitization-Related VIEs:(1)
Credit card loan securitizations(2)						$	25,474					$	14,692					$	0					$	0					$	0
Auto loan securitizations						5,019						4,021						0						0						0
Total securitization-related VIEs						30,493						18,713						0						0						0
Other VIEs:(3)
Affordable housing entities						297						23						5,726						2,085						5,726
Entities that provide capital to low-income and rural communities						2,498						10						0						0						0
Other(4)						0						0						449						0						449
Total other VIEs						2,795						33						6,175						2,085						6,175
Total VIEs						$	33,288					$	18,746					$	6,175					$	2,085					$	6,175

__________

(1)Excludes insignificant VIEs from previously exited businesses.

(2)Represents the carrying amount of assets and liabilities of the VIE, which includes the seller’s interest and repurchased notes held by other related parties.

(3)In certain investment structures, we consolidate a VIE which holds as its primary asset an investment in an unconsolidated VIE. In these instances, we disclose the carrying amount of assets and liabilities on our consolidated balance sheets as unconsolidated VIEs to avoid duplicating our exposure, as the unconsolidated VIEs are generally the operating entities generating the exposure. The carrying amount of assets and liabilities included in the unconsolidated VIE columns above related to these investment structures were $2.6 billion of assets and $999 million of liabilities as of September 30, 2024, and $2.6 billion of assets and $989 million of liabilities as of December 31, 2023.

(4)Primarily consists of variable interests in companies that promote renewable energy sources and other equity method investments.

Securitization-Related VIEs

In a securitization transaction, assets are transferred to a trust, which generally meets the definition of a VIE. We engage in securitization activities as an issuer and an investor. Our primary securitization issuance activity includes credit card and auto securitizations, conducted through securitization trusts which we consolidate. Our continuing involvement in these securitization transactions mainly consists of acting as the primary servicer and holding certain retained interests.

In our multifamily agency business, we originate multifamily commercial real estate loans and transfer them to government-sponsored enterprises (“GSEs”) who may, in turn, securitize them. We retain the related mortgage servicing rights (“MSRs”) and service the transferred loans pursuant to the guidelines set forth by the GSEs. As an investor, we hold primarily RMBS, CMBS, and ABS in our investment securities portfolio, which represent variable interests in the respective securitization trusts from which those securities were issued. We do not consolidate the securitization trusts employed in these transactions as we do not have the power to direct the activities that most significantly impact the economic performance of these securitization trusts. We exclude these VIEs from the tables within this note because we do not consider our continuing involvement with these VIEs to be significant as we either solely invest in securities issued by the VIE and were not involved in the design of the VIE or no transfers have occurred between the VIE and ourselves. Our maximum exposure to loss as a result of our involvement with these VIEs is the carrying value of the MSRs and investment securities on our consolidated balance sheets as well as our contractual obligations under loss sharing arrangements. See “Note 14—Commitments, Contingencies, Guarantees and Others” for information about the loss sharing agreements, “Note 7—Goodwill and Other Intangible Assets” for information related to our MSRs associated with these securitizations and “Note 3—Investment Securities” for more information on the securities held in our investment securities portfolio. In addition, where we have certain lending arrangements in the normal course of business with entities that could be VIEs, we have excluded these VIEs from the tables presented in this note. See “Note 4—Loans” for additional information regarding our lending arrangements in the normal course of business.

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The table below presents our continuing involvement in certain securitization-related VIEs as of September 30, 2024 and December 31, 2023.

Table 6.2: Continuing Involvement in Securitization-Related VIEs

(Dollars in millions)						Credit Card						Auto
September 30, 2024:
Securities held by third-party investors						$	13,098					$	2,783
Receivables in the trusts						24,867						3,315
Cash balance of spread or reserve accounts						0						19
Retained interests						Yes						Yes
Servicing retained						Yes						Yes
December 31, 2023:
Securities held by third-party investors						$	14,029					$	4,014
Receivables in the trusts						26,404						4,839
Cash balance of spread or reserve accounts						0						19
Retained interests						Yes						Yes
Servicing retained						Yes						Yes

Credit Card Securitizations

We securitize a portion of our credit card loans which provides a source of funding for us. Credit card securitizations involve the transfer of credit card receivables to securitization trusts. These trusts then issue debt securities collateralized by the transferred receivables to third-party investors. We hold certain retained interests in our credit card securitizations and continue to service the receivables in these trusts. We consolidate these trusts because we are deemed to be the primary beneficiary as we have the power to direct the activities that most significantly impact the economic performance of the trusts, and the right to receive benefits or the obligation to absorb losses that could potentially be significant to the trusts.

Auto Securitizations

Similar to our credit card securitizations, we securitize a portion of our auto loans which provides a source of funding for us. Auto securitizations involve the transfer of auto loans to securitization trusts. These trusts then issue debt securities collateralized by the transferred loans to third-party investors. We hold certain retained interests and continue to service the loans in these trusts. We consolidate these trusts because we are deemed to be the primary beneficiary as we have the power to direct the activities that most significantly impact the economic performance of the trusts, and the right to receive benefits or the obligation to absorb losses that could potentially be significant to the trusts.

Other VIEs

Affordable Housing Entities

As part of our community reinvestment initiatives, we invest in private investment funds that make equity investments in multifamily affordable housing properties, a majority of which are VIEs. We receive affordable housing tax credits for these investments. The activities of these entities are financed with a combination of invested equity capital and debt. We account for our investments in qualified affordable housing projects using the proportional amortization method, where costs of the investment are amortized over the period in which the investor expects to receive tax credits and other tax benefits, and the resulting amortization is recognized as a component of income tax expense attributable to continuing operations. For the nine months ended September 30, 2024 and 2023, we recognized amortization of $527 million and $522 million, respectively, and tax credits of $671 million and $652 million, respectively, associated with these investments within income tax provision. The carrying value of our equity investments in these qualified affordable housing projects was $5.3 billion and $5.5 billion as of September 30, 2024 and December 31, 2023, respectively. We are periodically required to provide additional financial or other support during the period of the investments. Our liability for these unfunded commitments was $2.1 billion and $2.3 billion as of September 30, 2024 and December 31, 2023, respectively, and is largely expected to be paid from 2024 to 2027.

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For those investment funds considered to be VIEs, we are not required to consolidate them if we do not have the power to direct the activities that most significantly impact the economic performance of those entities. We record our interests in these unconsolidated VIEs in loans held for investment, other assets and other liabilities on our consolidated balance sheets. Our maximum exposure to these entities is limited to our variable interests in the entities which consisted of assets of approximately $5.5 billion and $5.7 billion as of September 30, 2024 and December 31, 2023, respectively. The creditors of the VIEs have no recourse to our general credit and we do not provide additional financial or other support other than during the period that we are contractually required to provide it. The total assets of the unconsolidated VIE investment funds were approximately $18.7 billion and $18.6 billion as of September 30, 2024 and December 31, 2023, respectively.

Entities that Provide Capital to Low-Income and Rural Communities

We hold variable interests in entities (“Investor Entities”) that invest in community development entities (“CDEs”) that provide debt financing to businesses and non-profit entities in low-income and rural communities. Variable interests in the CDEs held by the consolidated Investor Entities are also our variable interests. The activities of the Investor Entities are financed with a combination of invested equity capital and debt. The activities of the CDEs are financed solely with invested equity capital. We receive federal and state tax credits for these investments. We consolidate the VIEs in which we have the power to direct the activities that most significantly impact the VIE’s economic performance and where we have the obligation to absorb losses or right to receive benefits that could potentially be significant to the VIE. We consolidate other investments and CDEs that are not considered to be VIEs, but where we hold a controlling financial interest. The assets of the VIEs that we consolidated, which totaled approximately $2.6 billion and $2.5 billion as of September 30, 2024 and December 31, 2023, respectively, are reflected on our consolidated balance sheets in cash, loans held for investment, and other assets. The liabilities are reflected in other liabilities. The creditors of the VIEs have no recourse to our general credit. We have not provided additional financial or other support other than during the period that we are contractually required to provide it.

Other

We hold variable interests in other VIEs, including companies that promote renewable energy sources and other equity method investments. We are not required to consolidate these VIEs because we do not have the power to direct the activities that most significantly impact their economic performance. Our maximum exposure to these VIEs is limited to the investments on our consolidated balance sheets of $385 million and $449 million as of September 30, 2024 and December 31, 2023, respectively. The creditors of the other VIEs have no recourse to our general credit. We have not provided additional financial or other support other than during the period that we are contractually required to provide it.

			113			Capital One Financial Corporation (COF)

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NOTE 7—GOODWILL AND OTHER INTANGIBLE ASSETS

The table below presents our goodwill, other intangible assets and MSRs as of September 30, 2024 and December 31, 2023. Goodwill is presented separately, while other intangible assets and MSRs are included in other assets on our consolidated balance sheets.

Table 7.1: Components of Goodwill, Other Intangible Assets and MSRs

						September 30, 2024
(Dollars in millions)						Carrying Amount of Assets						Accumulated Amortization						Net Carrying Amount
Goodwill						$	15,083					N/A						$	15,083
Other intangible assets:
Purchased credit card relationship (“PCCR”) intangibles						369						$	(147)					222
Other(1)						135						(104)						31
Total other intangible assets						504						(251)						253
Total goodwill and other intangible assets						$	15,587					$	(251)					$	15,336
Commercial MSRs(2)						$	658					$	(301)					$	357
						December 31, 2023
(Dollars in millions)						Carrying Amount of Assets						Accumulated Amortization						Net Carrying Amount
Goodwill						$	15,065					N/A						$	15,065
Other intangible assets:
Purchased credit card relationship (“PCCR”) intangibles						369						$	(96)					273
Other(1)						171						(134)						37
Total other intangible assets						540						(230)						310
Total goodwill and other intangible assets						$	15,605					$	(230)					$	15,375
Commercial MSRs(2)						$	653					$	(263)					$	390

__________

(1)Primarily consists of intangibles for sponsorship, customer and merchant relationships, domain names and licenses.

(2)Commercial MSRs are accounted for under the amortization method on our consolidated balance sheets.

Amortization expense for amortizable intangible assets, which is presented separately in our consolidated statements of income, totaled $20 million and $58 million for the three and nine months ended September 30, 2024, respectively, and $24 million and $60 million for the three and nine months ended September 30, 2023, respectively.

Goodwill

The following table presents changes in the carrying amount of goodwill by each of our business segments as of September 30, 2024 and December 31, 2023.

Table 7.2: Goodwill by Business Segments

(Dollars in millions)						Credit Card						Consumer Banking						Commercial Banking						Total
Balance as of December 31, 2023						$	5,366					$	4,645					$	5,054					$	15,065
Other adjustments(1)						18						0						0						18
Balance as of September 30, 2024						$	5,384					$	4,645					$	5,054					$	15,083

__________

(1)Primarily represents foreign currency translation adjustments.

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NOTE 8—DEPOSITS AND BORROWINGS

Our deposits, which include checking accounts, money market deposits, negotiable order of withdrawals, savings deposits and time deposits, represent our largest source of funding for our assets and operations. We also use a variety of other funding sources including short-term borrowings, senior and subordinated notes, securitized debt obligations and other borrowings. Securitized debt obligations are presented separately on our consolidated balance sheets, as they represent obligations of consolidated securitization trusts, while federal funds purchased and securities loaned or sold under agreements to repurchase, senior and subordinated notes and other borrowings, including FHLB advances, are included in other debt on our consolidated balance sheets.

Our total short-term borrowings generally consist of federal funds purchased, securities loaned or sold under agreements to repurchase and FHLB advances. Our long-term debt consists of borrowings with an original contractual maturity of greater than one year. The following tables summarize the components of our deposits, short-term borrowings and long-term debt as of September 30, 2024 and December 31, 2023. The carrying value presented below for these borrowings includes any unamortized debt premiums and discounts, net of debt issuance costs and fair value hedge accounting adjustments.

Table 8.1: Components of Deposits, Short-Term Borrowings and Long-Term Debt

(Dollars in millions)						September 30, 2024						December 31, 2023
Deposits:
Non-interest-bearing deposits						$	26,378					$	28,024
Interest-bearing deposits(1)						327,253						320,389
Total deposits						$	353,631					$	348,413
Short-term borrowings:
Federal funds purchased and securities loaned or sold under agreements to repurchase						$	520					$	538
Total short-term borrowings						$	520					$	538

						September 30, 2024																								December 31, 2023
(Dollars in millions)						Maturity Dates						Stated Interest Rates						Weighted-Average Interest Rate						Carrying Value						Carrying Value
Long-term debt:
Securitized debt obligations						2024-2028						0.77% - 6.11%						3.13%						$	15,881					$	18,043
Senior and subordinated notes:
Fixed unsecured senior debt(2)						2024-2035						1.65 - 7.62						4.76						29,102						27,168
Floating unsecured senior debt						—						—						—						0						349
Total unsecured senior debt																		4.76						29,102						27,517
Fixed unsecured subordinated debt						2025-2032						2.36 - 4.20						3.57						3,809						3,731
Total senior and subordinated notes																								32,911						31,248
Other long-term borrowings						2024-2031						1.20 - 9.91						6.59						24						27
Total long-term debt																								$	48,816					$	49,318
Total short-term borrowings and long-term debt																								$	49,336					$	49,856

__________

(1)Some customers have time deposits in excess of the federal deposit insurance limit, making a portion of the deposit uninsured. As of September 30, 2024, the total time deposit amount with some portion in excess of the insured amount was $14.7 billion and the portion of total time deposits estimated to be uninsured was $9.7 billion. As of December 31, 2023, the total time deposit amount with some portion in excess of the insured amount was $15.8 billion and the portion of total time deposits estimated to be uninsured was $9.0 billion.

(2)Includes $506 million and $1.3 billion of Euro (“EUR”) denominated unsecured notes as of September 30, 2024 and December 31, 2023, respectively.

			115			Capital One Financial Corporation (COF)

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NOTE 9—DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES

Use of Derivatives and Accounting for Derivatives

We regularly enter into derivative transactions to support our overall risk management activities. Our primary market risks stem from the impact on our earnings and economic value of equity due to changes in interest rates and, to a lesser extent, changes in foreign exchange rates. We manage our interest rate sensitivity by employing several techniques, which include changing the duration and re-pricing characteristics of various assets and liabilities by using interest rate derivatives. We also use foreign currency derivatives to limit our earnings and capital exposures to foreign exchange risk by hedging certain exposures denominated in foreign currencies. We primarily use interest rate and foreign currency swaps to perform these hedging activities, but we may also use a variety of other derivative instruments, including caps, floors, options, futures and forward contracts, to manage our interest rate and foreign exchange risks. We designate these risk management derivatives as either qualifying accounting hedges or free-standing derivatives. Qualifying accounting hedges are further designated as fair value hedges, cash flow hedges or net investment hedges. Free-standing derivatives are economic hedges that do not qualify for hedge accounting.

We also offer interest rate, commodity, foreign currency derivatives and other contracts as an accommodation to our customers within our Commercial Banking business. We enter into these derivatives with our customers primarily to help them manage their interest rate risks, hedge their energy and other commodities exposures, and manage foreign currency fluctuations. We offset the substantial majority of the market risk exposure of our customer accommodation derivatives through derivative transactions with other counterparties.

See below for additional information on our use of derivatives and how we account for them:

•Fair Value Hedges: We designate derivatives as fair value hedges when they are used to manage our exposure to changes in the fair value of certain financial assets and liabilities, which fluctuate in value as a result of movements in interest rates. Changes in the fair value of derivatives designated as fair value hedges are presented in the same line item in our consolidated statements of income as the earnings effect of the hedged items. We enter into receive-fixed, pay-float interest rate swaps to hedge changes in the fair value of outstanding fixed rate debt and deposits due to fluctuations in market interest rates. We also enter into pay-fixed, receive-float interest rate swaps to hedge changes in the fair value of fixed rate investment securities.

•Cash Flow Hedges: We designate derivatives as cash flow hedges when they are used to manage our exposure to variability in cash flows related to forecasted transactions. Changes in the fair value of derivatives designated as cash flow hedges are recorded as a component of accumulated other comprehensive income (“AOCI”). Those amounts are reclassified into earnings in the same period during which the hedged forecasted transactions impact earnings and presented in the same line item in our consolidated statements of income as the earnings effect of the hedged items. We enter into receive-fixed, pay-float interest rate swaps and interest rate floors to modify the interest rate characteristics of designated credit card and commercial loans from floating to fixed in order to reduce the impact of changes in forecasted future cash flows due to fluctuations in market interest rates. We also enter into foreign currency forward contracts to hedge our exposure to variability in cash flows related to intercompany borrowings denominated in foreign currencies.

•Net Investment Hedges: We use net investment hedges to manage the foreign currency exposure related to our net investments in foreign operations that have functional currencies other than the U.S. dollar. Changes in the fair value of net investment hedges are recorded in the translation adjustment component of AOCI, offsetting the translation gain or loss from those foreign operations. We execute net investment hedges using foreign currency forward contracts to hedge the translation exposure of the net investment in our foreign operations under the forward method.

•Free-Standing Derivatives: Our free-standing derivatives primarily consist of our customer accommodation derivatives and other economic hedges. The customer accommodation derivatives and the related offsetting contracts are mainly interest rate, commodity and foreign currency contracts. The other free-standing derivatives are primarily used to economically hedge the risk of changes in the fair value of our commercial mortgage loan origination and purchase commitments as well as other interests held. Changes in the fair value of free-standing derivatives are recorded in earnings as a component of other non-interest income.

			116			Capital One Financial Corporation (COF)

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Derivatives Counterparty Credit Risk

Counterparty Types

Derivative instruments contain an element of credit risk that stems from the potential failure of a counterparty to perform according to the terms of the contract, including making payments due upon maturity of certain derivative instruments. We execute our derivative contracts primarily in “over-the-counter” (“OTC”) markets. We also execute interest rate and commodity futures in the exchange-traded derivative markets. Our OTC derivatives consist of both trades cleared through central counterparty clearinghouses (“CCPs”) and uncleared bilateral contracts. The Chicago Mercantile Exchange (“CME”), the Intercontinental Exchange (“ICE”) and the LCH Group (“LCH”) are our CCPs for our centrally cleared contracts. In our uncleared bilateral contracts, we enter into agreements directly with our derivative counterparties.

Counterparty Credit Risk Management

We manage the counterparty credit risk associated with derivative instruments by entering into legally enforceable master netting agreements, where applicable, and exchanging collateral with our counterparties, typically in the form of cash or high-quality liquid securities. We exchange collateral in two primary forms: variation margin, which accounts for changes in market value due to daily market movements, and initial margin, which offsets the potential future exposure of a derivative. We exchange variation margin and initial margin on bilateral derivatives in scope for uncleared margin rules.

The amount of collateral exchanged for variation margin is dependent upon the fair value of the derivative instruments as well as the fair value of the pledged collateral and will vary over time as market variables change. The amount of the initial margin exchanged is dependent upon 1) the calculation of initial margin exposure, as prescribed by 1(a) the U.S. prudential regulators’ margin rules for uncleared derivatives (“PR Rules”) or 1(b) the CCPs for cleared derivatives and 2) the fair value of the pledged collateral; it will vary over time as market variables change. When valuing collateral, an estimate of the variation in price and liquidity over time is subtracted in the form of a “haircut” to discount the value of the collateral pledged. Our exposure to derivative counterparty credit risk, at any point in time, is equal to the amount reported as a derivative asset on our balance sheet. The fair value of our derivatives is adjusted on an aggregate basis to take into consideration the effects of legally enforceable master netting agreements and any associated collateral received or pledged. See Table 9.3 for our net exposure associated with derivatives.

The terms under which we collateralize our exposures differ between cleared exposures and uncleared bilateral exposures.

•CCPs: We clear eligible OTC derivatives with CCPs as part of our regulatory requirements. We also clear exchange-traded instruments, like futures, with CCPs. Futures commission merchants (“FCMs”) serve as the intermediary between CCPs and us. CCPs require that we post initial and variation margin through our FCMs to mitigate the risk of non-payment or default. Initial margin is required by CCPs as collateral against potential losses on our exchange-traded and cleared derivative contracts and variation margin is exchanged on a daily basis to account for mark-to-market changes in those derivative contracts. For CME, ICE and LCH-cleared OTC derivatives, variation margin cash payments are required to be characterized as settlements. Our FCM agreements governing these derivative transactions include provisions that may require us to post additional collateral under certain circumstances.

•Bilateral Counterparties: We enter into master netting agreements and collateral agreements with bilateral derivative counterparties, where applicable, to mitigate the risk of default. These bilateral agreements typically provide the right to offset exposure with the same counterparty and require the party in a net liability position to post collateral. Agreements with certain bilateral counterparties require both parties to maintain collateral in the event the fair values of uncleared derivatives exceed established exposure thresholds. Certain of these bilateral agreements include provisions requiring that our debt maintain a credit rating of investment grade or above by each of the major credit rating agencies. In the event of a downgrade of our debt credit rating below investment grade, some of our counterparties would have the right to terminate their derivative contract and close out existing positions.

			117			Capital One Financial Corporation (COF)

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Credit Risk Valuation Adjustments

We record counterparty credit valuation adjustments (“CVAs”) on our derivative assets to reflect the credit quality of our counterparties. We consider collateral and legally enforceable master netting agreements that mitigate our credit exposure to each counterparty in determining CVAs, which may be adjusted due to changes in the fair values of the derivative contracts, collateral, and creditworthiness of the counterparty. We also record debit valuation adjustments (“DVAs”) to adjust the fair values of our derivative liabilities to reflect the impact of our own credit quality.

Balance Sheet Presentation

The following table summarizes the notional amounts and fair values of our derivative instruments as of September 30, 2024 and December 31, 2023, which are segregated by derivatives that are designated as accounting hedges and those that are not, and are further segregated by type of contract within those two categories. The total derivative assets and liabilities are adjusted on an aggregate basis to take into consideration the effects of legally enforceable master netting agreements and any associated cash collateral received or pledged. Derivative assets and liabilities are included in other assets and other liabilities, respectively, on our consolidated balance sheets, and their related gains or losses are included in operating activities as changes in other assets and other liabilities in the consolidated statements of cash flows.

Table 9.1: Derivative Assets and Liabilities at Fair Value

						September 30, 2024																		December 31, 2023
						Notional or Contractual Amount						Derivative(1)												Notional or Contractual Amount						Derivative(1)
(Dollars in millions)												Assets						Liabilities												Assets						Liabilities
Derivatives designated as accounting hedges:
Interest rate contracts:
Fair value hedges						$	64,284					$	8					$	82					$	68,987					$	18					$	26
Cash flow hedges						93,050						307						80						70,350						216						23
Total interest rate contracts						157,334						315						162						139,337						234						49
Foreign exchange contracts:
Fair value hedges						557						0						66						1,380						0						113
Cash flow hedges						2,645						0						59						2,488						0						66
Net investment hedges						5,100						2						174						4,870						1						89
Total foreign exchange contracts						8,302						2						299						8,738						1						268
Total derivatives designated as accounting hedges						165,636						317						461						148,075						235						317
Derivatives not designated as accounting hedges:
Customer accommodation:
Interest rate contracts						103,279						844						929						103,489						1,188						1,382
Commodity contracts						35,647						1,177						1,182						33,495						1,161						1,147
Foreign exchange and other contracts						5,580						31						39						5,153						50						47
Total customer accommodation						144,506						2,052						2,150						142,137						2,399						2,576
Other interest rate exposures(2)						921						19						14						872						21						31
Other contracts						3,011						20						32						2,955						20						8
Total derivatives not designated as accounting hedges						148,438						2,091						2,196						145,964						2,440						2,615
Total derivatives						$	314,074					$	2,408					$	2,657					$	294,039					$	2,675					$	2,932
Less: netting adjustment(3)												(725)						(622)												(1,005)						(597)
Total derivative assets/liabilities												$	1,683					$	2,035											$	1,670					$	2,335

__________

(1)Does not reflect $3 million and $2 million recognized as a net valuation allowance on derivative assets and liabilities for non-performance risk as of September 30, 2024 and December 31, 2023, respectively. This net valuation allowance is included as part of other assets and other liabilities on the consolidated balance sheets, and is offset through non-interest income in the consolidated statements of income.

(2)Other interest rate exposures include commercial mortgage-related derivatives and interest rate swaps.

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(3)Represents balance sheet netting of derivative assets and liabilities, and related payables and receivables for cash collateral held or placed with the same counterparty.

The following table summarizes the carrying value of our hedged assets and liabilities in fair value hedges and the associated cumulative basis adjustments included in those carrying values, excluding basis adjustments related to foreign currency risk, as of September 30, 2024 and December 31, 2023.

Table 9.2: Hedged Items in Fair Value Hedging Relationships

						September 30, 2024																		December 31, 2023
						Carrying Amount Assets/(Liabilities)						Cumulative Amount of Basis Adjustments Included in the Carrying Amount												Carrying Amount Assets/(Liabilities)						Cumulative Amount of Basis Adjustments Included in the Carrying Amount
(Dollars in millions)												Total Assets/(Liabilities)						Discontinued-Hedging Relationships												Total Assets/(Liabilities)						Discontinued-Hedging Relationships
Line item on our consolidated balance sheets in which the hedged item is included:
Investment securities available for sale(1)(2)						$	6,191					$	78					$	87					$	6,108					$	(8)					$	126
Interest-bearing deposits						(11,292)						64						0						(17,374)						277						0
Securitized debt obligations						(13,042)						242						0						(13,375)						503						0
Senior and subordinated notes						(31,410)						385						(258)						(30,899)						971						(372)

__________

(1)These amounts include the amortized cost basis of our investment securities designated in hedging relationships for which the hedged item is the last layer expected to be remaining at the end of the hedging relationship. The amortized cost basis of this portfolio was $1.4 billion and $2.2 billion as of September 30, 2024 and December 31, 2023, respectively. The amount of the designated hedged items was $1.0 billion and $1.5 billion as of September 30, 2024 and December 31, 2023, respectively. The cumulative basis adjustments associated with these hedges was $32 million and $33 million as of September 30, 2024 and December 31, 2023, respectively.

(2)Carrying value represents amortized cost.

Balance Sheet Offsetting of Financial Assets and Liabilities

Derivative contracts and repurchase agreements that we execute bilaterally in the OTC market are generally governed by enforceable master netting agreements where we generally have the right to offset exposure with the same counterparty. Either counterparty can generally request to net settle all contracts through a single payment upon default on, or termination of, any one contract. We elect to offset the derivative assets and liabilities under master netting agreements for balance sheet presentation where a right of setoff exists. For derivative contracts entered into under master netting agreements for which we have not been able to confirm the enforceability of the setoff rights, or those not subject to master netting agreements, we do not offset our derivative positions for balance sheet presentation.

The following table presents the gross and net fair values of our derivative assets, derivative liabilities, resale and repurchase agreements and the related offsetting amounts permitted under U.S. GAAP as of September 30, 2024 and December 31, 2023. The table also includes cash and non-cash collateral received or pledged in accordance with such arrangements. The amount of collateral presented, however, is limited to the amount of the related net derivative fair values or outstanding balances; therefore, instances of over-collateralization are excluded.

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Table 9.3: Offsetting of Financial Assets and Financial Liabilities

						Gross Amounts						Gross Amounts Offset in the Balance Sheet												Net Amounts as Recognized						Securities Collateral Held Under Master Netting Agreements						Net Exposure
(Dollars in millions)												Financial Instruments						Cash Collateral Received
As of September 30, 2024
Derivative assets(1)						$	2,408					$	(474)					$	(251)					$	1,683					$	(11)					$	1,672
As of December 31, 2023
Derivative assets(1)						2,675						(433)						(572)						1,670						(22)						1,648

						Gross Amounts						Gross Amounts Offset in the Balance Sheet												Net Amounts as Recognized						Securities Collateral Pledged Under Master Netting Agreements						Net Exposure
(Dollars in millions)												Financial Instruments						Cash Collateral Pledged
As of September 30, 2024
Derivative liabilities(1)						$	2,657					$	(474)					$	(148)					$	2,035					$	(27)					$	2,008
Repurchase agreements(2)						520						0						0						520						(520)						0
As of December 31, 2023
Derivative liabilities(1)						2,932						(433)						(164)						2,335						(13)						2,322
Repurchase agreements(2)						538						0						0						538						(538)						0

__________

(1)We received cash collateral from derivative counterparties totaling $428 million and $858 million as of September 30, 2024 and December 31, 2023, respectively. We also received securities from derivative counterparties with a fair value of approximately $11 million and $16 million as of September 30, 2024 and December 31, 2023, respectively, which we have the ability to re-pledge. We posted $1.7 billion of cash collateral as of both September 30, 2024 and December 31, 2023.

(2)Under our customer repurchase agreements, which mature the next business day, we pledged collateral with a fair value of $531 million and $549 million as of September 30, 2024 and December 31, 2023, respectively, primarily consisting of agency RMBS securities.

			120			Capital One Financial Corporation (COF)

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Income Statement and AOCI Presentation

Fair Value and Cash Flow Hedges

The net gains (losses) recognized in our consolidated statements of income related to derivatives in fair value and cash flow hedging relationships are presented below for the three and nine months ended September 30, 2024 and 2023.

Table 9.4: Effects of Fair Value and Cash Flow Hedge Accounting

						Three Months Ended September 30, 2024
						Net Interest Income																																				Non-Interest Income
(Dollars in millions)						Investment Securities						Loans, Including Loans Held for Sale						Other						Interest-bearing Deposits						Securitized Debt Obligations						Senior and Subordinated Notes						Other
Total amounts presented in our consolidated statements of income						$	733					$	10,547					$	580					$	(2,945)					$	(234)					$	(596)					$	244
Fair value hedging relationships:
Interest rate and foreign exchange contracts:
Interest recognized on derivatives						$	39					$	0					$	0					$	(73)					$	(102)					$	(248)					$	0
Gains (losses) recognized on derivatives						(144)						0						0						247						210						1,010						21
Gains (losses) recognized on hedged items(1)						128						0						0						(246)						(210)						(973)						(21)
Excluded component of fair value hedges(2)						0						0						0						0						0						0						0
Net income (expense) recognized on fair value hedges						$	23					$	0					$	0					$	(72)					$	(102)					$	(211)					$	0
Cash flow hedging relationships:(3)
Interest rate contracts:
Realized gains (losses) reclassified from AOCI into net income						$	0					$	(314)					$	0					$	0					$	0					$	0					$	0
Foreign exchange contracts:
Realized gains (losses) reclassified from AOCI into net income(4)						0						0						2						0						0						0						1
Net income (expense) recognized on cash flow hedges						$	0					$	(314)					$	2					$	0					$	0					$	0					$	1

			121			Capital One Financial Corporation (COF)

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						Nine Months Ended September 30, 2024
						Net Interest Income																																				Non-Interest Income
(Dollars in millions)						Investment Securities						Loans, Including Loans Held for Sale						Other						Interest-bearing Deposits						Securitized Debt Obligations						Senior and Subordinated Notes						Other
Total amounts presented in our consolidated statements of income						$	2,120					$	30,460					$	1,737					$	(8,631)					$	(753)					$	(1,793)					$	803
Fair value hedging relationships:
Interest rate and foreign exchange contracts:
Interest recognized on derivatives						$	125					$	0					$	0					$	(277)					$	(339)					$	(771)					$	0
Gains (losses) recognized on derivatives						(137)						0						0						213						261						742						(18)
Gains (losses) recognized on hedged items(1)						86						0						0						(213)						(261)						(627)						18
Excluded component of fair value hedges(2)						0						0						0						0						0						7						0
Net income (expense) recognized on fair value hedges						$	74					$	0					$	0					$	(277)					$	(339)					$	(649)					$	0
Cash flow hedging relationships:(3)
Interest rate contracts:
Realized gains (losses) reclassified from AOCI into net income						$	0					$	(936)					$	0					$	0					$	0					$	0					$	0
Foreign exchange contracts:
Realized gains (losses) reclassified from AOCI into net income(4)						0						0						7						0						0						0						1
Net income (expense) recognized on cash flow hedges						$	0					$	(936)					$	7					$	0					$	0					$	0					$	1

			122			Capital One Financial Corporation (COF)

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						Three Months Ended September 30, 2023
						Net Interest Income																																				Non-Interest Income
(Dollars in millions)						Investment Securities						Loans, Including Loans Held for Sale						Other						Interest-bearing Deposits						Securitized Debt Obligations						Senior and Subordinated Notes						Other
Total amounts presented in our consolidated statements of income						$	627					$	9,696					$	550					$	(2,611)					$	(249)					$	(579)					$	256
Fair value hedging relationships:
Interest rate and foreign exchange contracts:
Interest recognized on derivatives						$	42					$	0					$	0					$	(104)					$	(112)					$	(275)					$	0
Gains (losses) recognized on derivatives						(15)						0						0						(38)						4						(273)						(42)
Gains (losses) recognized on hedged items(1)						(6)						0						0						38						(4)						313						42
Excluded component of fair value hedges(2)						0						0						0						0						0						(1)						0
Net income (expense) recognized on fair value hedges						$	21					$	0					$	0					$	(104)					$	(112)					$	(236)					$	0
Cash flow hedging relationships:(3)
Interest rate contracts:
Realized gains (losses) reclassified from AOCI into net income						$	0					$	(320)					$	0					$	0					$	0					$	0					$	0
Foreign exchange contracts:
Realized gains (losses) reclassified from AOCI into net income(4)						0						0						3						0						0						0						1
Net income (expense) recognized on cash flow hedges						$	0					$	(320)					$	3					$	0					$	0					$	0					$	1

			123			Capital One Financial Corporation (COF)

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						Nine Months Ended September 30, 2023
						Net Interest Income																																				Non-Interest Income
(Dollars in millions)						Investment Securities						Loans, Including Loans Held for Sale						Other						Interest-bearing Deposits						Securitized Debt Obligations						Senior and Subordinated Notes						Other
Total amounts presented in our consolidated statements of income						$	1,881					$	27,476					$	1,436					$	(6,744)					$	(696)					$	(1,596)					$	730
Fair value hedging relationships:
Interest rate and foreign exchange contracts:
Interest recognized on derivatives						$	113					$	0					$	0					$	(278)					$	(297)					$	(754)					$	0
Gains (losses) recognized on derivatives						(35)						0						0						(84)						(10)						(275)						(17)
Gains (losses) recognized on hedged items(1)						(22)						0						0						81						9						388						17
Excluded component of fair value hedges(2)						0						0						0						0						0						(2)						0
Net income (expense) recognized on fair value hedges						$	56					$	0					$	0					$	(281)					$	(298)					$	(643)					$	0
Cash flow hedging relationships:(3)
Interest rate contracts:
Realized gains reclassified from AOCI into net income						$	0					$	(879)					$	0					$	0					$	0					$	0					$	0
Foreign exchange contracts:
Realized gains (losses) reclassified from AOCI into net income(4)						0						0						9						0						0						0						1
Net income (expense) recognized on cash flow hedges						$	0					$	(879)					$	9					$	0					$	0					$	0					$	1

_________

(1)Includes amortization benefit of $21 million and $62 million for the three and nine months ended September 30, 2024, respectively, and amortization benefit of $20 million and $56 million for the three and nine months ended September 30, 2023, respectively, related to basis adjustments on discontinued hedges.

(2)Changes in fair values of cross-currency swaps attributable to changes in cross-currency basis spreads are excluded from the assessment of hedge effectiveness and recorded in other comprehensive income (“OCI”). The initial value of the excluded component is recognized in earnings over the life of the swap under the amortization approach.

(3)See “Note 10—Stockholders’ Equity” for the effects of cash flow and net investment hedges on AOCI and amounts reclassified to net income, net of tax.

(4)We recognized a loss of $56 million and $1 million for the three and nine months ended September 30, 2024, respectively, and gain of $100 million and $70 million for the three and nine months ended September 30, 2023, respectively, on foreign exchange contracts reclassified from AOCI. These amounts were largely offset by the foreign currency transaction gains (losses) on our foreign currency denominated intercompany funding included in other non-interest income on our consolidated statements of income.

In the next 12 months, we expect to reclassify into earnings an after-tax loss of $526 million recorded in AOCI as of September 30, 2024 associated with cash flow hedges of forecasted transactions. This amount will largely offset the cash flows associated with the forecasted transactions hedged by these derivatives. The maximum length of time over which forecasted transactions were hedged was approximately 9.5 years as of September 30, 2024. The amount we expect to reclassify into earnings may change as a result of changes in market conditions and ongoing actions taken as part of our overall risk management strategy.

			124			Capital One Financial Corporation (COF)

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Free-Standing Derivatives

The net impacts to our consolidated statements of income related to free-standing derivatives are presented below for the three and nine months ended September 30, 2024 and 2023. These gains or losses are recognized in other non-interest income on our consolidated statements of income.

Table 9.5: Gains (Losses) on Free-Standing Derivatives

						Three Months Ended September 30,												Nine Months Ended September 30,
(Dollars in millions)						2024						2023						2024						2023
Gains (losses) recognized in other non-interest income:
Customer accommodation:
Interest rate contracts						$	3					$	7					$	20					$	26
Commodity contracts						5						11						13						28
Foreign exchange and other contracts						3						5						15						13
Total customer accommodation						11						23						48						67
Other interest rate exposures						48						81						206						199
Other contracts						(31)						(7)						(51)						(24)
Total						$	28					$	97					$	203					$	242

			125			Capital One Financial Corporation (COF)

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NOTE 10—STOCKHOLDERS’ EQUITY

Preferred Stock

The following table summarizes our preferred stock outstanding as of September 30, 2024 and December 31, 2023.

Table 10.1: Preferred Stock Outstanding(1)

																		Redeemable by Issuer Beginning						Per Annum Dividend Rate						Dividend Frequency						Liquidation Preference per Share						Total Shares Outstanding as of September 30, 2024						Carrying Value (in millions)
Series						Description						Issuance Date																																				September 30, 2024						December 31, 2023
Series I						5.000% Non-Cumulative						September 11, 2019						December 1, 2024						5.000%						Quarterly						$	1,000					1,500,000						$	1,462					$	1,462
Series J						4.800% Non-Cumulative						January 31,  2020						June 1, 2025						4.800						Quarterly						1,000						1,250,000						1,209						1,209
Series K						4.625% Non-Cumulative						September 17, 2020						December 1, 2025						4.625						Quarterly						1,000						125,000						122						122
Series L						4.375% Non-Cumulative						May 4, 2021						September 1, 2026						4.375						Quarterly						1,000						675,000						652						652
Series M						3.950% Fixed Rate Reset Non-Cumulative						June 10, 2021						September 1, 2026						3.950% through 8/31/2026; resets 9/1/2026 and every subsequent 5 year anniversary at 5-Year Treasury Rate +3.157%						Quarterly						1,000						1,000,000						988						988
Series N						4.250% Non-Cumulative						July 29, 2021						September 1, 2026						4.250%						Quarterly						1,000						425,000						412						412
Total																																																$	4,845					$	4,845

__________

(1)Except for Series M, ownership is held in the form of depositary shares, each representing a 1/40th interest in a share of fixed-rate non-cumulative perpetual preferred stock.

Accumulated Other Comprehensive Income

AOCI primarily consists of accumulated net unrealized gains or losses associated with securities available for sale, changes in fair value of derivatives in hedging relationships and foreign currency translation adjustments.

The following table presents the changes in AOCI by component for the three and nine months ended September 30, 2024 and 2023.

Table 10.2: AOCI

						Three Months Ended September 30, 2024
(Dollars in millions)						Securities Available for Sale						Hedging Relationships(1)						Foreign Currency Translation Adjustments(2)												Other						Total
AOCI as of June 30, 2024						$	(7,797)					$	(1,885)					$	12											$	(31)					$	(9,701)
Other comprehensive income before reclassifications						2,274						791						45												0						3,110
Amounts reclassified from AOCI into earnings						26						278						0												0						304
Other comprehensive income, net of tax						2,300						1,069						45												0						3,414
AOCI as of September 30, 2024						$	(5,497)					$	(816)					$	57											$	(31)					$	(6,287)

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						Nine Months Ended September 30, 2024
(Dollars in millions)						Securities Available for Sale						Hedging Relationships(1)						Foreign Currency Translation Adjustments(2)												Other						Total
AOCI as of December 31, 2023						$	(6,769)					$	(1,493)					$	26											$	(32)					$	(8,268)
Other comprehensive income (loss) before reclassifications						1,246						(21)						31												1						1,257
Amounts reclassified from AOCI into earnings						26						698						0												0						724
Other comprehensive income, net of tax						1,272						677						31												1						1,981
AOCI as of September 30, 2024						$	(5,497)					$	(816)					$	57											$	(31)					$	(6,287)

						Three Months Ended September 30, 2023
(Dollars in millions)						Securities Available for Sale						Hedging Relationships(1)						Foreign Currency Translation Adjustments(2)												Other						Total
AOCI as of June 30, 2023						$	(7,602)					$	(2,205)					$	27											$	(38)					$	(9,818)
Other comprehensive income (loss) before reclassifications						(2,108)						(424)						(39)												0						(2,571)
Amounts reclassified from AOCI into earnings						0						165						0												0						165
Other comprehensive income (loss), net of tax						(2,108)						(259)						(39)												0						(2,406)
AOCI as of September 30, 2023						$	(9,710)					$	(2,464)					$	(12)											$	(38)					$	(12,224)

						Nine Months Ended September 30, 2023
(Dollars in millions)						Securities Available for Sale						Hedging Relationships(1)						Foreign Currency Translation Adjustments(2)												Other						Total
AOCI as of December 31, 2022						$	(7,676)					$	(2,182)					$	(20)											$	(38)					$	(9,916)
Other comprehensive income (loss) before reclassifications						(2,034)						(890)						8												0						(2,916)
Amounts reclassified from AOCI into earnings						0						608						0												0						608
Other comprehensive income (loss), net of tax						(2,034)						(282)						8												0						(2,308)
AOCI as of September 30, 2023						$	(9,710)					$	(2,464)					$	(12)											$	(38)					$	(12,224)

__________

(1)Includes amounts related to cash flow hedges as well as the excluded component of cross-currency swaps designated as fair value hedges.

(2)Includes other comprehensive losses of $134 million and $72 million for the three and nine months ended September 30, 2024, respectively, and other comprehensive gains of $115 million and losses of $1 million for the three and nine months ended September 30, 2023, respectively, from hedging instruments designated as net investment hedges.

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The following table presents amounts reclassified from each component of AOCI to our consolidated statements of income for the three and nine months ended September 30, 2024 and 2023.

Table 10.3: Reclassifications from AOCI

(Dollars in millions)												Three Months Ended September 30,												Nine Months Ended September 30,
AOCI Components						Affected Income Statement Line Item						2024						2023						2024						2023
Securities available for sale:
						Non-interest income (expense)						$	(34)					$	0					$	(34)					$	0
						Income tax provision (benefit)						(8)						0						(8)						0
						Net income (loss)						(26)						0						(26)						0
Hedging relationships:
Interest rate contracts:						Interest income (expense)						(314)						(320)						(936)						(879)
Foreign exchange contracts:						Interest income						2						3						7						9
						Interest income (expense)						0						(1)						7						(2)
						Non-interest income (expense)						(56)						100						(1)						70
						Income (loss) from continuing operations before income taxes						(368)						(218)						(923)						(802)
						Income tax provision (benefit)						(90)						(53)						(225)						(194)
						Net income (loss)						(278)						(165)						(698)						(608)
Other:
						Non-interest income and non-interest expense						0						0						0						0
						Income tax provision (benefit)						0						0						0						0
						Net income (loss)						0						0						0						0
Total reclassifications												$	(304)					$	(165)					$	(724)					$	(608)

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CAPITAL ONE FINANCIAL CORPORATION

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

The table below summarizes other comprehensive income (loss) activity and the related tax impact for the three and nine months ended September 30, 2024 and 2023.

Table 10.4: Other Comprehensive Income (Loss)

						Three Months Ended September 30,
						2024																		2023
(Dollars in millions)						Before Tax						Provision (Benefit)						After Tax						Before Tax						Provision (Benefit)						After Tax
Other comprehensive income (loss):
Net unrealized gains (losses) on securities available for sale						$	3,033					$	733					$	2,300					$	(2,780)					$	(672)					$	(2,108)
Net unrealized gains (losses) on hedging relationships						1,412						343						1,069						(342)						(83)						(259)
Foreign currency translation adjustments(1)						2						(43)						45						(2)						37						(39)
Other comprehensive income (loss)						$	4,447					$	1,033					$	3,414					$	(3,124)					$	(718)					$	(2,406)

						Nine Months Ended September 30,
						2024																		2023
(Dollars in millions)						Before Tax						Provision (Benefit)						After Tax						Before Tax						Provision (Benefit)						After Tax
Other comprehensive income (loss):
Net unrealized gains (losses) on securities available for sale						$	1,674					$	402					$	1,272					$	(2,684)					$	(650)					$	(2,034)
Net unrealized gains (losses) on hedging relationships						894						217						677						(372)						(90)						(282)
Foreign currency translation adjustments(1)						8						(23)						31						8						0						8
Other						1						0						1						0						0						0
Other comprehensive income (loss)						$	2,577					$	596					$	1,981					$	(3,048)					$	(740)					$	(2,308)

__________

(1)Includes the impact of hedging instruments designated as net investment hedges.

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NOTE 11—EARNINGS PER COMMON SHARE

The following table sets forth the computation of basic and diluted earnings per common share.

Table 11.1: Computation of Basic and Diluted Earnings per Common Share

						Three Months Ended September 30,												Nine Months Ended September 30,
(Dollars and shares in millions, except per share data)						2024						2023						2024						2023
Net income						$	1,777					$	1,790					$	3,654					$	4,181
Dividends and undistributed earnings allocated to participating securities						(28)						(28)						(60)						(67)
Preferred stock dividends						(57)						(57)						(171)						(171)
Net income available to common stockholders						$	1,692					$	1,705					$	3,423					$	3,943
Total weighted-average basic common shares outstanding						383.0						382.5						382.8						382.7
Effect of dilutive securities:(1)
Stock options						0.1						0.1						0.2						0.1
Other contingently issuable shares						0.6						0.7						0.7						0.8
Total effect of dilutive securities						0.7						0.8						0.9						0.9
Total weighted-average diluted common shares outstanding						383.7						383.3						383.7						383.6
Basic earnings per common share:
Net income per basic common share						$	4.42					$	4.46					$	8.94					$	10.31
Diluted earnings per common share:(1)
Net income per diluted common share						$	4.41					$	4.45					$	8.92					$	10.28

__________

(1)Excluded from the computation of diluted earnings per share were awards of 43 thousand shares and 13 thousand shares for the nine months ended September 30, 2024 and 2023, respectively, because their inclusion would be anti-dilutive. There were no awards excluded from the computation of dilutive earning per share for the three months ended September 30, 2024 and 2023.

,,

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NOTE 12—FAIR VALUE MEASUREMENT

Fair value, also referred to as an exit price, is defined as the price that would be received for an asset or paid to transfer a liability in an orderly transaction between market participants on the measurement date. The fair value accounting guidance provides a three-level fair value hierarchy for classifying financial instruments. This hierarchy is based on the markets in which the assets or liabilities trade and whether the inputs to the valuation techniques used to measure fair value are observable or unobservable. The fair value measurement of a financial asset or liability is assigned a level based on the lowest level of any input that is significant to the fair value measurement in its entirety. The three levels of the fair value hierarchy are described below:

Level 1:						Valuation is based on quoted prices (unadjusted) in active markets for identical assets or liabilities.
Level 2:						Valuation is based on observable market-based inputs other than Level 1 prices, such as quoted prices for similar assets or liabilities, quoted prices in markets that are not active, or other inputs that are observable or can be corroborated by observable market data for substantially the full term of the assets or liabilities.
Level 3:						Valuation is generated from techniques that use significant assumptions not observable in the market. Valuation techniques include pricing models, discounted cash flow (“DCF”) methodologies or similar techniques.

The accounting guidance for fair value measurements requires that we maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. We consider all available information, including observable market data, indications of market liquidity and orderliness, and our understanding of the valuation techniques and significant inputs. Based upon the specific facts and circumstances of each instrument or instrument category, judgments are made regarding the significance of the observable or unobservable inputs to the instruments’ fair value measurement in its entirety. If unobservable inputs are considered significant, the instrument is classified as Level 3. The process for determining fair value using unobservable inputs is generally more subjective and involves a high degree of management judgment and assumptions. The accounting guidance provides for the irrevocable option to elect, on a contract-by-contract basis, to measure certain financial assets and liabilities at fair value at inception of the contract and record any subsequent changes in fair value in earnings.

The determination and classification of financial instruments in the fair value hierarchy is performed at the end of each reporting period. For additional information on the valuation techniques used in estimating the fair value of our financial assets and liabilities on a recurring basis, see “Part II—Item 8. Financial Statements and Supplementary Data—Note 16—Fair Value Measurement” in our 2023 Form 10-K.

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Assets and Liabilities Measured at Fair Value on a Recurring Basis

The following table displays our assets and liabilities measured on our consolidated balance sheets at fair value on a recurring basis as of September 30, 2024 and December 31, 2023.

Table 12.1: Assets and Liabilities Measured at Fair Value on a Recurring Basis

						September 30, 2024
						Fair Value Measurements Using																		Netting Adjustments(1)
(Dollars in millions)						Level 1						Level 2						Level 3												Total
Assets:
Securities available for sale:
U.S. Treasury securities						$	6,032					$	0					$	0					$	0					$	6,032
RMBS						0						66,127						180						0						66,307
CMBS						0						8,181						2						0						8,183
Other securities						131						2,847						0						0						2,978
Total securities available for sale						6,163						77,155						182						0						83,500
Loans held for sale						0						77						0						0						77
Other assets:
Derivative assets(2)						866						929						613						(725)						1,683
Other(3)						675						0						34						0						709
Total assets						$	7,704					$	78,161					$	829					$	(725)					$	85,969
Liabilities:
Other liabilities:
Derivative liabilities(2)						$	574					$	1,515					$	568					$	(622)					$	2,035
Total liabilities						$	574					$	1,515					$	568					$	(622)					$	2,035

						December 31, 2023
						Fair Value Measurements Using																		Netting Adjustments(1)
(Dollars in millions)						Level 1						Level 2						Level 3												Total
Assets:
Securities available for sale:
U.S. Treasury securities						$	5,282					$	0					$	0					$	0					$	5,282
RMBS						0						63,492						146						0						63,638
CMBS						0						8,191						132						0						8,323
Other securities						126						1,748						0						0						1,874
Total securities available for sale						5,408						73,431						278						0						79,117
Loans held for sale						0						347						0						0						347
Other assets:
Derivative assets(2)						788						1,001						886						(1,005)						1,670
Other(3)						589						3						35						0						627
Total assets						$	6,785					$	74,782					$	1,199					$	(1,005)					$	81,761
Liabilities:
Other liabilities:
Derivative liabilities(2)						$	449					$	1,655					$	828					$	(597)					$	2,335
Total liabilities						$	449					$	1,655					$	828					$	(597)					$	2,335

__________

(1)Represents balance sheet netting of derivative assets and liabilities, and related payables and receivables for cash collateral held or placed with the same counterparty. See “Note 9—Derivative Instruments and Hedging Activities” for additional information.

(2)Does not reflect approximately $3 million and $2 million recognized as a net valuation allowance on derivative assets and liabilities for non-performance risk as of September 30, 2024 and December 31, 2023, respectively. Non-performance risk is included in the measurement of derivative assets and liabilities on our consolidated balance sheets, and is recorded through non-interest income in the consolidated statements of income.

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(3)As of September 30, 2024 and December 31, 2023, other includes retained interests in securitizations of $34 million and $35 million, deferred compensation plan assets of $670 million and $578 million and equity securities of $5 million (including unrealized gains of $5 million) and $14 million (including unrealized gains of $5 million), respectively.

Level 3 Recurring Fair Value Rollforward

The table below presents a reconciliation for all assets and liabilities measured and recognized at fair value on a recurring basis using significant unobservable inputs (Level 3) for the three and nine months ended September 30, 2024 and 2023. Generally, transfers into Level 3 were primarily driven by the usage of unobservable assumptions in the pricing of these financial instruments as evidenced by wider pricing variations among pricing vendors and transfers out of Level 3 were primarily driven by the usage of assumptions corroborated by market observable information as evidenced by tighter pricing among multiple pricing sources.

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Table 12.2: Level 3 Recurring Fair Value Rollforward

						Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
						Three Months Ended September 30, 2024
												Total Gains (Losses) (Realized/Unrealized)																																																						Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of September 30, 2024(1)
(Dollars in millions)						Balance, July 1, 2024						Included in Net Income(1)						Included in OCI						Purchases						Sales						Issuances						Settlements						Transfers Into Level 3						Transfers Out of Level 3						Balance, September 30, 2024
Securities available for sale:(2)
RMBS						$	304					$	2					$	11					$	0					$	0					$	0					$	(4)					$	2					$	(135)					$	180					$	2
CMBS						2						0						0						0						0						0						0						0						0						2						0
Total securities available for sale						306						2						11						0						0						0						(4)						2						(135)						182						2
Other assets:
Retained interests in securitizations						34						0						0						0						0						0						0						0						0						34						0
Net derivative assets (liabilities)(3)						69						(20)						0						0						0						4						(8)						0						0						45						(15)

						Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
						Nine Months Ended September 30, 2024
												Total Gains (Losses) (Realized/Unrealized)																																																						Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of September 30, 2024(1)
(Dollars in millions)						Balance, January 1, 2024						Included in Net Income(1)						Included in OCI						Purchases						Sales						Issuances						Settlements						Transfers Into Level 3						Transfers Out of Level 3						Balance, September 30, 2024
Securities available for sale:(2)
RMBS						$	146					$	6					$	8					$	0					$	0					$	0					$	(9)					$	187					$	(158)					$	180					$	5
CMBS						132						0						(3)						0						0						0						(3)						0						(124)						2						0
Total securities available for sale						278						6						5						0						0						0						(12)						187						(282)						182						5
Other assets:
Retained interests in securitizations						35						(1)						0						0						0						0						0						0						0						34						(1)
Net derivative assets (liabilities)(3)						58						(17)						0						0						0						1						3						0						0						45						(18)

						Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
						Three Months Ended September 30, 2023
												Total Gains (Losses) (Realized/Unrealized)																																																						Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of September 30, 2023(1)
(Dollars in millions)						Balance, July 1, 2023						Included in Net Income(1)						Included in OCI						Purchases						Sales						Issuances						Settlements						Transfers Into Level 3						Transfers Out of Level 3						Balance, September 30, 2023
Securities available for sale:(2)
RMBS						$	206					$	2					$	(5)					$	0					$	0					$	0					$	(6)					$	2					$	(50)					$	149					$	2
CMBS						133						0						(6)						0						0						0						(1)						0						0						126						0
Total securities available for sale						339						2						(11)						0						0						0						(7)						2						(50)						275						2
Other assets:
Retained interests in securitizations						36						(1)						0						0						0						0						0						0						0						35						(1)
Net derivative assets (liabilities)(3)						64						(2)						0						0						0						3						18						(15)						0						68						4

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						Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
						Nine Months Ended September 30, 2023
												Total Gains (Losses) (Realized/Unrealized)																																																						Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of September 30, 2023(1)
(Dollars in millions)						Balance, January 1, 2023						Included in Net Income(1)						Included in OCI						Purchases						Sales						Issuances						Settlements						Transfers Into Level 3						Transfers Out of Level 3						Balance, September 30, 2023
Securities available for sale:(2)
RMBS						$	236					$	6					$	(4)					$	0					$	0					$	0					$	(17)					$	47					$	(119)					$	149					$	5
CMBS						142						0						(12)						0						0						0						(4)						0						0						126						0
Total securities available for sale						378						6						(16)						0						0						0						(21)						47						(119)						275						5
Other assets:
Retained interests in securitizations						36						(1)						0						0						0						0						0						0						0						35						(1)
Net derivative assets (liabilities)(3)(4)						5						(20)						0						0						0						176						75						(167)						(1)						68						71

_________

(1)Realized gains (losses) on securities available for sale are included in net securities gains (losses) and retained interests in securitizations are reported as a component of non-interest income in our consolidated statements of income. Gains (losses) on derivatives are included as a component of net interest income or non-interest income in our consolidated statements of income.

(2)For both the three and nine months ended September 30, 2024, included in OCI related to Level 3 securities available for sale still held as of September 30, 2024 were net unrealized losses of $2 million. For the three and nine months ended September 30, 2023, included in OCI related to Level 3 securities available for sale still held as of September 30, 2023 were net unrealized losses of $9 million and $14 million, respectively.

(3)Includes derivative assets and liabilities of $613 million and $568 million, respectively, as of September 30, 2024 and $1.3 billion and $1.3 billion, respectively, as of September 30, 2023.

(4)Transfers into Level 3 primarily consist of term Secured Overnight Financing Rate (“SOFR”)-indexed interest rate derivatives.

Significant Level 3 Fair Value Asset and Liability Inputs

Generally, uncertainties in fair value measurements of financial instruments, such as changes in unobservable inputs, may have a significant impact on fair value. Certain of these unobservable inputs will, in isolation, have a directionally consistent impact on the fair value of the instrument for a given change in that input. Alternatively, the fair value of the instrument may move in an opposite direction for a given change in another input. In general, an increase in the discount rate, default rates, loss severity or credit spreads, in isolation, would result in a decrease in the fair value measurement. In addition, an increase in default rates would generally be accompanied by a decrease in recovery rates, slower prepayment rates and an increase in liquidity spreads, and would lead to a decrease in the fair value measurement.

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Techniques and Inputs for Level 3 Fair Value Measurements

The following table presents the significant unobservable inputs used to determine the fair values of our Level 3 financial instruments on a recurring basis. We utilize multiple vendor pricing services to obtain fair value for our securities. Several of our vendor pricing services are only able to provide unobservable input information for a limited number of securities due to software licensing restrictions. Other vendor pricing services are able to provide unobservable input information for all securities for which they provide a valuation. As a result, the unobservable input information for the securities available for sale presented below represents a composite summary of all information we are able to obtain. The unobservable input information for all other Level 3 financial instruments is based on the assumptions used in our internal valuation models.

Table 12.3: Quantitative Information about Level 3 Fair Value Measurements

Quantitative Information about Level 3 Fair Value Measurements

(Dollars in millions)

Fair Value at September 30, 2024

Significant Valuation Techniques

Significant Unobservable Inputs

Range

Weighted Average(1)

Securities available for sale:

RMBS

$

180

Discounted cash flows (vendor pricing)

Yield Voluntary prepayment rate Default rate Loss severity

4-14% 0-12% 0-6% 25-80%

6% 7% 1% 61%

CMBS

2

Discounted cash flows (vendor pricing)

Yield

5-7%

7%

Other assets:

Retained interests in securitizations(2)

34

Discounted cash flows

Life of receivables (months) Voluntary prepayment rate Discount rate Default rate Loss severity

31-73 7-9% 5-14% 1-2% 46-155%

N/A

Net derivative assets (liabilities)

45

Discounted cash flows

Swap rates

3-5%

3%

Quantitative Information about Level 3 Fair Value Measurements

(Dollars in millions)

Fair Value at December 31, 2023

Significant Valuation Techniques

Significant Unobservable Inputs

Range

Weighted Average(1)

Securities available for sale:

RMBS

$

146

Discounted cash flows (vendor pricing)

Yield Voluntary prepayment rate Default rate Loss severity

2-19% 0-12% 0-10% 30-80%

7% 7% 1% 61%

CMBS

132

Discounted cash flows (vendor pricing)

Yield

5-7%

5%

Other assets:

Retained interests in securitizations(2)

35

Discounted cash flows

Life of receivables (months) Voluntary prepayment rate Discount rate Default rate Loss severity

33-69 9% 5-14% 2% 53-163%

N/A

Net derivative assets (liabilities)

58

Discounted cash flows

Swap rates

3-5%

4%

__________

(1)Weighted averages are calculated by using the product of the input multiplied by the relative fair value of the instruments.

(2)Due to the nature of the various mortgage securitization structures in which we have retained interests, it is not meaningful to present a consolidated weighted average for the significant unobservable inputs.

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Assets and Liabilities Measured at Fair Value on a Nonrecurring Basis

We are required to measure and recognize certain assets at fair value on a nonrecurring basis on the consolidated balance sheets. These assets are not measured at fair value on an ongoing basis but are subject to fair value adjustments in certain circumstances (for example, from the application of lower of cost or fair value accounting or when we evaluate for impairment).

The following table presents the carrying value of the assets measured at fair value on a nonrecurring basis and still held as of September 30, 2024 and December 31, 2023, and for which a nonrecurring fair value measurement was recorded during the nine and twelve months then ended.

Table 12.4: Nonrecurring Fair Value Measurements

						September 30, 2024
						Estimated Fair Value Hierarchy												Total
(Dollars in millions)						Level 2						Level 3
Loans held for investment						$	0					$	738					$	738
Loans held for sale						10						0						10
Other assets(1)						0						100						100
Total						$	10					$	838					$	848

						December 31, 2023
						Estimated Fair Value Hierarchy												Total
(Dollars in millions)						Level 2						Level 3
Loans held for investment						$	0					$	545					$	545
Loans held for sale						37						0						37
Other assets(1)						0						214						214
Total						$	37					$	759					$	796

__________

(1)As of September 30, 2024, other assets includes investments accounted for under measurement alternative of $47 million, cost method investments of $1 million and repossessed assets of $52 million. As of December 31, 2023, other assets included investments accounted for under measurement alternative of $46 million, repossessed assets of $45 million and long-lived assets held for sale and right-of-use assets totaling $123 million.

In the above table, loans held for investment are generally valued based in part on the estimated fair value of the underlying collateral and the non-recoverable rate, which is considered to be a significant unobservable input. The non-recoverable rate ranged from 7% to 61%, with a weighted average of 19%, and from 0% to 100%, with a weighted average of 18%, as of September 30, 2024 and December 31, 2023, respectively. The weighted average non-recoverable rate is calculated based on the estimated market value of the underlying collateral. The significant unobservable inputs and related quantitative information related to fair value of the other assets are not meaningful to disclose as they vary significantly across properties and collateral.

The following table presents total nonrecurring fair value measurements for the period, included in earnings, attributable to the change in fair value relating to assets that are still held at September 30, 2024 and 2023.

Table 12.5: Nonrecurring Fair Value Measurements Included in Earnings

						Total Gains (Losses)
						Nine Months Ended September 30,
(Dollars in millions)						2024						2023
Loans held for investment						$	(224)					$	(315)
Loans held for sale						(6)						0
Other assets(1)						(64)						(52)
Total						$	(294)					$	(367)

__________

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(1)Other assets primarily include fair value adjustments related to repossessed assets and equity investments accounted for under the measurement alternative.

Fair Value of Financial Instruments

The following table presents the carrying value and estimated fair value, including the level within the fair value hierarchy, of our financial instruments that are not measured at fair value on a recurring basis on our consolidated balance sheets as of September 30, 2024 and December 31, 2023.

Table 12.6: Fair Value of Financial Instruments

						September 30, 2024
						Carrying Value						Estimated Fair Value						Estimated Fair Value Hierarchy
(Dollars in millions)																		Level 1						Level 2						Level 3
Financial assets:
Cash and cash equivalents						$	49,298					$	49,298					$	3,976					$	45,322					$	0
Restricted cash for securitization investors						421						421						421						0						0
Net loans held for investment						303,709						308,901						0						0						308,901
Loans held for sale						19						19						0						19						0
Interest receivable						2,577						2,577						0						2,577						0
Other investments(1)						1,330						1,330						0						1,330						0
Financial liabilities:
Deposits with defined maturities						77,678						77,893						0						77,893						0
Securitized debt obligations						15,881						15,939						0						15,939						0
Senior and subordinated notes						32,911						33,694						0						33,694						0
Federal funds purchased and securities loaned or sold under agreements to repurchase						520						520						0						520						0
Interest payable						705						705						0						705						0

						December 31, 2023
						Carrying Value						Estimated Fair Value						Estimated Fair Value Hierarchy
(Dollars in millions)																		Level 1						Level 2						Level 3
Financial assets:
Cash and cash equivalents						$	43,297					$	43,297					$	4,903					$	38,394					$	0
Restricted cash for securitization investors						458						458						458						0						0
Net loans held for investment						305,176						308,044						0						0						308,044
Loans held for sale						507						515						0						515						0
Interest receivable						2,478						2,478						0						2,478						0
Other investments(1)						1,329						1,329						0						1,329						0
Financial liabilities:
Deposits with defined maturities						83,014						82,990						0						82,990						0
Securitized debt obligations						18,043						18,067						0						18,067						0
Senior and subordinated notes						31,248						31,524						0						31,524						0
Federal funds purchased and securities loaned or sold under agreements to repurchase						538						538						0						538						0
Interest payable						649						649						0						649						0

__________

(1)Other investments include FHLB and Federal Reserve stock. These investments are included in other assets on our consolidated balance sheets.

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NOTE 13—BUSINESS SEGMENTS AND REVENUE FROM CONTRACTS WITH CUSTOMERS

Our principal operations are organized into three major business segments, which are defined primarily based on the products and services provided or the types of customers served: Credit Card, Consumer Banking and Commercial Banking. The operations of acquired businesses have been integrated into or managed as a part of our existing business segments. Certain activities that are not part of a business segment are included in the Other category, such as the management of our corporate investment portfolio and asset/liability positions performed by our centralized Corporate Treasury group and any residual tax expense or benefit beyond what is assessed to our business segments in order to arrive at the consolidated effective tax rate. The Other category also includes unallocated corporate expenses that do not directly support the operations of the business segments or for which the business segments are not considered financially accountable in evaluating their performance, such as certain restructuring charges and integration expenses related to the agreement to acquire Discover.

Basis of Presentation

We report the results of each of our business segments on a continuing operations basis. The results of our individual businesses reflect the manner in which management evaluates performance and makes decisions about funding our operations and allocating resources.

Business Segment Reporting Methodology

The results of our business segments are intended to present each segment as if it were a stand-alone business. Our internal management and reporting process used to derive our segment results employs various allocation methodologies, including funds transfer pricing, to assign certain balance sheet assets, deposits and other liabilities and their related revenues and expenses directly or indirectly attributable to each business segment. Our funds transfer pricing process managed by our centralized Corporate Treasury group provides a funds credit for sources of funds, such as deposits generated by our Consumer Banking and Commercial Banking businesses, and a charge for the use of funds by each segment. The allocation is unique to each business segment and acquired business and is based on the composition of assets and liabilities. The funds transfer pricing process considers the interest rate and liquidity risk characteristics of assets and liabilities and off-balance sheet products. Periodically the methodology and assumptions utilized in the funds transfer pricing process are adjusted to reflect economic conditions and other factors, which may impact the allocation of net interest income to the business segments. Due to the integrated nature of our business segments, estimates and judgments have been made in allocating certain revenue and expense items. Transactions between segments are based on specific criteria or approximate market rates. We regularly assess the assumptions, methodologies and reporting classifications used for segment reporting, which may result in the implementation of refinements or changes in future periods. We provide additional information on the allocation methodologies used to derive our business segment results in “Part II—Item 8. Financial Statements and Supplementary Data—Note 17—Business Segments and Revenue from Contracts with Customers” in our 2023 Form 10-K.

Segment Results and Reconciliation

We may periodically change our business segments or reclassify business segment results based on modifications to our management reporting methodologies or changes in organizational alignment. The following table presents our business segment results for the three and nine months ended September 30, 2024 and 2023, selected balance sheet data as of September 30, 2024 and 2023, and a reconciliation of our total business segment results to our reported consolidated income from continuing operations, loans held for investment and deposits.

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Table 13.1: Segment Results and Reconciliation

						Three Months Ended September 30, 2024
(Dollars in millions)						Credit Card						Consumer Banking						Commercial Banking(1)						Other(1)						Consolidated Total
Net interest income (loss)						$	5,743					$	2,028					$	596					$	(291)					$	8,076
Non-interest income (loss)						1,509						182						292						(45)						1,938
Total net revenue (loss)(2)						7,252						2,210						888						(336)						10,014
Provision (benefit) for credit losses						2,084						351						48						(1)						2,482
Non-interest expense						3,367						1,331						495						121						5,314
Income (loss) from continuing operations before income taxes						1,801						528						345						(456)						2,218
Income tax provision (benefit)						427						125						82						(193)						441
Income (loss) from continuing operations, net of tax						$	1,374					$	403					$	263					$	(263)					$	1,777
Loans held for investment						$	156,651					$	76,758					$	86,834					$	0					$	320,243
Deposits						0						309,569						30,598						13,464						353,631

						Nine Months Ended September 30, 2024
(Dollars in millions)						Credit Card						Consumer Banking						Commercial Banking(1)						Other(1)						Consolidated Total
Net interest income (loss)						$	16,309					$	6,064					$	1,804					$	(1,067)					$	23,110
Non-interest income (loss)						4,491						513						844						(36)						5,812
Total net revenue (loss)(2)						20,800						6,577						2,648						(1,103)						28,922
Provision (benefit) for credit losses						7,888						1,107						80						(1)						9,074
Non-interest expense						9,730						3,827						1,493						347						15,397
Income (loss) from continuing operations before income taxes						3,182						1,643						1,075						(1,449)						4,451
Income tax provision (benefit)						756						388						254						(601)						797
Income (loss) from continuing operations, net of tax						$	2,426					$	1,255					$	821					$	(848)					$	3,654
Loans held for investment						$	156,651					$	76,758					$	86,834					$	0					$	320,243
Deposits						0						309,569						30,598						13,464						353,631

						Three Months Ended September 30, 2023
(Dollars in millions)						Credit Card						Consumer Banking						Commercial Banking(1)						Other(1)						Consolidated Total
Net interest income (loss)						$	5,114					$	2,133					$	621					$	(445)					$	7,423
Non-interest income						1,513						142						288						0						1,943
Total net revenue (loss)(2)						6,627						2,275						909						(445)						9,366
Provision for credit losses						1,953						213						116						2						2,284
Non-interest expense						3,015						1,262						512						71						4,860
Income (loss) from continuing operations before income taxes						1,659						800						281						(518)						2,222
Income tax provision (benefit)						393						189						67						(217)						432
Income (loss) from continuing operations, net of tax						$	1,266					$	611					$	214					$	(301)					$	1,790
Loans held for investment						$	146,783					$	76,844					$	91,153					$	0					$	314,780
Deposits						0						290,789						36,035						19,187						346,011

                                                                                                                                                                                                                                                                                                                                                                                                                                    

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						Nine Months Ended September 30, 2023
(Dollars in millions)						Credit Card						Consumer Banking						Commercial Banking(1)						Other(1)						Consolidated Total
Net interest income (loss)						$	14,498					$	6,762					$	1,901					$	(1,439)					$	21,722
Non-interest income						4,375						426						757						1						5,559
Total net revenue (loss)(2)						18,873						7,188						2,658						(1,438)						27,281
Provision for credit losses						6,298						747						521						3						7,569
Non-interest expense						9,073						3,776						1,524						226						14,599
Income (loss) from continuing operations before income taxes						3,502						2,665						613						(1,667)						5,113
Income tax provision (benefit)						830						629						145						(672)						932
Income (loss) from continuing operations, net of tax						$	2,672					$	2,036					$	468					$	(995)					$	4,181
Loans held for investment						$	146,783					$	76,844					$	91,153					$	0					$	314,780
Deposits						0						290,789						36,035						19,187						346,011

_________

(1)Some of our commercial investments generate tax-exempt income, tax credits or other tax benefits. Accordingly, we present our Commercial Banking revenue and yields on a taxable-equivalent basis, calculated using the federal statutory tax rate of 21% and state taxes where applicable, with offsetting reductions to the Other category.

(2)Total net revenue was reduced by $624 million and $1.9 billion in the three and nine months ended September 30, 2024, respectively, and $449 million and $1.3 billion in the three and nine months ended September 30, 2023, respectively, for credit card finance charges and fees charged off as uncollectible.

Revenue from Contracts with Customers

The majority of our revenue from contracts with customers consists of interchange fees, service charges and other customer-related fees, and other contract revenue. Interchange fees are primarily from our Credit Card business and are recognized upon settlement with the interchange networks, net of rewards earned by customers. Service charges and other customer-related fees within our Consumer Banking business are primarily related to fees earned on consumer deposit accounts for account maintenance and various transaction-based services such as automated teller machine (“ATM”) usage. Service charges and other customer-related fees within our Commercial Banking business are mostly related to fees earned on treasury management and capital markets services. Other contract revenue in our Credit Card business consists primarily of revenue from our partnership arrangements. Other contract revenue in our Consumer Banking business consists primarily of revenue earned from services provided to auto industry participants. Revenue from contracts with customers is included in non-interest income in our consolidated statements of income.

The following table presents revenue from contracts with customers and a reconciliation to non-interest income by business segment for the three and nine months ended September 30, 2024 and 2023.

Table 13.2: Revenue from Contracts with Customers and Reconciliation to Segment Results

						Three Months Ended September 30, 2024
(Dollars in millions)						Credit Card						Consumer Banking						Commercial Banking(1)						Other(1)						Consolidated Total
Contract revenue:
Interchange fees, net(2)						$	1,086					$	113					$	28					$	1					$	1,228
Service charges and other customer-related fees						0						23						92						0						115
Other						67						36						1						0						104
Total contract revenue						1,153						172						121						1						1,447
Revenue (reduction) from other sources						356						10						171						(46)						491
Total non-interest income (loss)						$	1,509					$	182					$	292					$	(45)					$	1,938

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						Nine Months Ended September 30, 2024
(Dollars in millions)						Credit Card						Consumer Banking						Commercial Banking(1)						Other(1)						Consolidated Total
Contract revenue:
Interchange fees, net(2)						$	3,222					$	318					$	81					$	1					$	3,622
Service charges and other customer-related fees						0						66						239						0						305
Other						271						101						6						0						378
Total contract revenue						3,493						485						326						1						4,305
Revenue (reduction) from other sources						998						28						518						(37)						1,507
Total non-interest income (loss)						$	4,491					$	513					$	844					$	(36)					$	5,812

						Three Months Ended September 30, 2023
(Dollars in millions)						Credit Card						Consumer Banking						Commercial Banking(1)						Other(1)						Consolidated Total
Contract revenue:
Interchange fees, net(2)						$	1,115					$	92					$	27					$	0					$	1,234
Service charges and other customer-related fees						0						21						78						0						99
Other						111						28						3						0						142
Total contract revenue						1,226						141						108						0						1,475
Revenue from other sources						287						1						180						0						468
Total non-interest income						$	1,513					$	142					$	288					$	0					$	1,943

						Nine Months Ended September 30, 2023
(Dollars in millions)						Credit Card						Consumer Banking						Commercial Banking(1)						Other(1)						Consolidated Total
Contract revenue:
Interchange fees, net(2)						$	3,251					$	270					$	64					$	1					$	3,586
Service charges and other customer-related fees						0						64						173						(1)						236
Other						257						74						16						0						347
Total contract revenue						3,508						408						253						0						4,169
Revenue from other sources						867						18						504						1						1,390
Total non-interest income						$	4,375					$	426					$	757					$	1					$	5,559

__________

(1)Some of our commercial investments generate tax-exempt income, tax credits or other tax benefits. Accordingly, we present our Commercial Banking revenue and yields on a taxable-equivalent basis, calculated using the federal statutory tax rate of 21% and state taxes where applicable, with offsetting reductions to the Other category.

(2)Interchange fees are presented net of customer reward expenses.    

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NOTE 14—COMMITMENTS, CONTINGENCIES, GUARANTEES AND OTHERS

Commitments to Lend

Our unfunded lending commitments primarily consist of credit card lines, loan commitments to customers of both our Commercial Banking and Consumer Banking businesses, as well as standby and commercial letters of credit. These commitments, other than credit card lines and certain other unconditionally cancellable lines of credit, are legally binding conditional agreements that have fixed expirations or termination dates and specified interest rates and purposes. The contractual amount of these commitments represents the maximum possible credit risk to us should the counterparty draw upon the commitment. We generally manage the potential risk of unfunded lending commitments by limiting the total amount of arrangements, monitoring the size and maturity structure of these portfolios and applying the same credit standards for all of our credit activities.

For unused credit card lines, we have not experienced and do not anticipate that all of our customers will access their entire available line at any given point in time. Commitments to extend credit other than credit card lines generally require customers to maintain certain credit standards. Collateral requirements and loan-to-value (“LTV”) ratios are the same as those for funded transactions and are established based on management’s credit assessment of the customer. These commitments may expire without being drawn upon; therefore, the total commitment amount does not necessarily represent future funding requirements.

We also issue letters of credit, such as financial standby, performance standby and commercial letters of credit, to meet the financing needs of our customers. Standby letters of credit are conditional commitments issued by us to guarantee the performance of a customer to a third party in a borrowing arrangement. Commercial letters of credit are short-term commitments issued primarily to facilitate trade finance activities for customers and are generally collateralized by the goods being shipped to the customer. These collateral requirements are similar to those for funded transactions and are established based on management’s credit assessment of the customer. Management conducts regular reviews of all outstanding letters of credit and the results of these reviews are considered in assessing the adequacy of reserves for unfunded lending commitments.

The following table presents the contractual amount and carrying value of our unfunded lending commitments as of September 30, 2024 and December 31, 2023. The carrying value represents our reserve and deferred revenue on legally binding commitments.

Table 14.1: Unfunded Lending Commitments

						Contractual Amount												Carrying Value
(Dollars in millions)						September 30, 2024						December 31, 2023						September 30, 2024						December 31, 2023
Credit card lines						$	412,905					$	392,867					N/A						N/A
Other loan commitments(1)						44,698						46,951						$	72					$	99
Standby letters of credit and commercial letters of credit(2)						1,266						1,465						27						23
Total unfunded lending commitments						$	458,869					$	441,283					$	99					$	122

__________

(1)Includes $5.0 billion and $4.7 billion of advised lines of credit as of September 30, 2024 and December 31, 2023, respectively.

(2)These financial guarantees have expiration dates that range from 2025 to 2027 as of September 30, 2024.

Loss Sharing Agreements

Within our Commercial Banking business, we originate multifamily commercial real estate loans with the intent to sell them to the GSEs. We enter into loss sharing agreements with the GSEs upon the sale of these originated loans. Beginning January 1, 2020, we elected the fair value option on new loss sharing agreements entered into. Unrealized gains and losses are recorded in other non-interest income in our consolidated statements of income. For those loss sharing agreements entered into as of and prior to December 31, 2019, we amortize the liability recorded at inception into non-interest income as we are released from risk of having to make a payment and record our estimate of expected credit losses each period through the provision for credit losses in our consolidated statements of income. The liability recognized on our consolidated balance sheets for these loss sharing agreements was $145 million and $137 million as of September 30, 2024 and December 31, 2023, respectively. See “Note 5—Allowance for Credit Losses and Reserve for Unfunded Lending Commitments” for information related to our credit card partnership loss sharing arrangements.

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Litigation

In accordance with the current accounting standards for loss contingencies, we establish reserves for litigation related matters that arise from the ordinary course of our business activities when it is probable that a loss associated with a claim or proceeding has been incurred and the amount of the loss can be reasonably estimated. None of the amounts we currently have recorded individually or in the aggregate are considered to be material to our financial condition. Litigation claims and proceedings of all types are subject to many uncertain factors that generally cannot be predicted with assurance. Below we provide a description of potentially material legal proceedings and claims.

For some of the matters disclosed below, we are able to estimate reasonably possible losses above existing reserves, and for other disclosed matters, such an estimate is not possible at this time. For those matters below where an estimate is possible, management currently estimates the reasonably possible future losses beyond our reserves as of September 30, 2024 are approximately $400 million. Our reserve and reasonably possible loss estimates involve considerable judgment and reflect that there is significant uncertainty regarding numerous factors that may impact the ultimate loss levels. Notwithstanding our attempt to estimate a reasonably possible range of loss beyond our current accrual levels for some litigation matters based on current information, it is possible that actual future losses will exceed both the current accrual level and reasonably possible losses disclosed here. Given the inherent uncertainties involved in these matters and the very large or indeterminate damages sought in some of these, there is significant uncertainty as to the ultimate liability we may incur from these litigation matters and an adverse outcome in one or more of these matters could be material to our results of operations or cash flows for any particular reporting period.

Interchange Litigation

In 2005, a putative class of retail merchants filed antitrust lawsuits against MasterCard and Visa and several issuing banks, including Capital One, seeking both injunctive relief and monetary damages for an alleged conspiracy by defendants to fix the level of interchange fees. The Visa and MasterCard payment networks and issuing banks entered into settlement and judgment sharing agreements allocating the liabilities of any judgment or settlement arising from all interchange-related cases.

The lawsuits were consolidated before the U.S. District Court for the Eastern District of New York for certain purposes and were settled in 2012. The class settlement, however, was invalidated by the United States Court of Appeals for the Second Circuit in June 2016, and the suit was bifurcated into separate class actions seeking injunctive and monetary relief, respectively. In addition, numerous merchant groups opted out of the 2012 settlement. 

The monetary relief class action settled for $5.5 billion and was approved by the District Court in December 2019. The Second Circuit affirmed the settlement in March 2023, and it is final. Some of the merchants that opted out of the monetary relief class have brought cases, and some of those cases have settled and some remain pending. Visa created a litigation escrow account following its initial public offering of stock in 2008 that funds the portion of these settlements attributable to Visa-allocated transactions. Any settlement amounts based on MasterCard-allocated transactions that have not already been paid are reflected in our reserves. Visa and MasterCard reached a settlement with the injunctive relief class and filed a motion for preliminary approval, which was denied by the District Court in June 2024. The parties will continue to litigate unless a settlement is reached and approved.

Cybersecurity Incident

On July 29, 2019, we announced that on March 22 and 23, 2019 an outside individual gained unauthorized access to our systems. This individual obtained certain types of personal information relating to people who had applied for our credit card products and to our credit card customers (the “2019 Cybersecurity Incident”). As a result of the 2019 Cybersecurity Incident, we have been subject to numerous legal proceedings and other inquiries and could be the subject of additional proceedings and inquiries in the future.

Consumer class actions. We are named as a defendant in 4 putative consumer class action cases in Canadian courts alleging harm from the 2019 Cybersecurity Incident and seeking various remedies, including monetary and injunctive relief. The lawsuits allege breach of contract, negligence, violations of various privacy laws and a variety of other legal causes of action. In the second quarter of 2022, a trial court in British Columbia preliminarily certified a class of all impacted Canadian consumers except those in Quebec. The preliminary certification decision in British Columbia was appealed, with both sides contesting portions of the ruling. On July 4, 2024, the British Columbia Court of Appeals denied both parties’ appeals. In the third quarter of 2023, a trial court in Quebec preliminarily authorized a class of all impacted consumers in Quebec. This

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decision also has been appealed. The final two putative class actions, both of which are pending in Alberta, are continuing in parallel, but currently remain at a preliminary stage. A fifth putative class action in Ontario was dismissed with prejudice and all appeals of that decision have now been exhausted.

Governmental inquiries. In August 2020, we entered into consent orders with the Board of Governors of the Federal Reserve System (“Federal Reserve”) and the Office of the Comptroller of the Currency (“OCC”) resulting from regulatory reviews of the 2019 Cybersecurity Incident and relating to ongoing enhancements of our cybersecurity and operational risk management processes. We paid an $80 million penalty to the U.S. Treasury as part of the OCC agreement. The Federal Reserve agreement did not contain a monetary penalty. The OCC lifted its consent order on August 31, 2022 and the Federal Reserve lifted its consent order on July 5, 2023. On August 12, 2019, Canada’s Office of Privacy Commissioner (“OPC”) also initiated an investigation into the 2019 Cybersecurity Incident. That investigation concluded in April 2024 with no further action required.

U.K. PPI Litigation

In the U.K., we previously sold payment protection insurance (“PPI”). For several years leading up to the claims submission deadline of August 29, 2019 (as set by the U.K. Financial Conduct Authority (“FCA”)), we received customer complaints and regulatory claims relating to PPI. COEP has materially resolved the PPI complaints and regulatory claims received prior to the deadline. Some of the claimants in the U.K. PPI regulatory claims process have subsequently initiated legal proceedings, seeking additional redress. We are responding to these proceedings as we receive them.

Savings Account Litigation and Related Government Investigation

On July 10, 2023, we were sued in a putative class action in the Eastern District of Virginia by savings account holders alleging breach of contract and a variety of other causes of action relating to our introduction of a new savings account product with a higher interest rate than existing savings account products (“Savings Account Litigation”). Since the original suit, we have also been sued in six similar putative class actions in federal courts in California, Illinois, Ohio, Virginia, New Jersey and New York. On March 20, 2024, we filed with the Judicial Panel on Multidistrict Litigation a motion to consolidate and transfer related actions to the Eastern District of Virginia. In June 2024, the Judicial Panel granted the motion and transferred the related actions to the Eastern District of Virginia. Plaintiffs filed a consolidated complaint on July 1, 2024 and the court set a trial date in July 2025. We filed a motion to dismiss the consolidated complaint, which is fully briefed and pending with the court.

In August 2024, we received a Civil Investigative Demand from the Consumer Financial Protection Bureau (“CFPB”) relating to the savings account products at issue in the litigation. In October 2024, the CFPB issued a Notice of Opportunity to Respond and Advise (“NORA”) letter indicating that the CFPB is considering an enforcement action against us on similar grounds as the claims in the Savings Account Litigation. We are responding to the NORA letter and it is possible the CFPB will pursue an enforcement action, including possible litigation, at the end of the NORA process.

Other Pending and Threatened Litigation

In addition, we are commonly subject to various pending and threatened legal actions relating to the conduct of our normal business activities. In the opinion of management, the ultimate aggregate liability, if any, arising out of all such other pending or threatened legal actions is not expected to be material to our consolidated financial position or our results of operations.

Other Contingencies

Deposit Insurance Assessments

On November 16, 2023, the Federal Deposit Insurance Corporation (“FDIC”) finalized a rule to implement a special assessment to recover the loss to the Deposit Insurance Fund (“DIF”) arising from the protection of uninsured depositors in connection with the systemic risk determination announced on March 12, 2023, following the closures of Silicon Valley Bank and Signature Bank. In December 2023, the FDIC provided notification that they would be collecting the special assessment at an annual rate of approximately 13.4 basis points (“bps”) over eight quarterly collection periods, beginning with the first quarter of 2024 with the first payment due on June 28, 2024. In June 2024, the FDIC provided notification that the collection period will be extended an additional two quarters beyond the initial eight quarterly collection periods at a lower annual rate. The special assessment base is equal to an insured depository institution’s estimated uninsured deposits reported on its Consolidated Reports of Condition and Income as of December 31, 2022 (“2022 Call Report”), adjusted to exclude the first $5 billion of uninsured deposits. We recognized $289 million in operating expense in the fourth quarter of 2023 associated with the special assessment

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based on our 2022 Call Report, which was revised and refiled during 2023. We recognized incremental operating expenses in 2024 as a result of updates from the FDIC related to our portion of the FDIC’s estimate of relevant DIF losses. We have recognized $330 million of operating expenses related to the special assessment as of September 30, 2024.

It is reasonably possible amendments will be needed to our 2022 Call Report due to future legal and regulatory developments, which could result in additional expenses associated with the special assessment. The ultimate amount of expenses associated with the special assessment will also be impacted by the finalization of the losses incurred by the FDIC in the resolutions of Silicon Valley Bank and Signature Bank. The amount of reasonably possible additional special assessment fees beyond our existing accrual due to these factors is approximately $200 million.

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Item 3. Quantitative and Qualitative Disclosures about Market Risk

For a discussion of the quantitative and qualitative disclosures about market risk, see “Part I—Item 2. MD&A—Market Risk Profile.”

Item 4. Controls and Procedures

Overview

We are required under applicable laws and regulations to maintain controls and procedures, which include disclosure controls and procedures as well as internal control over financial reporting, as further described below. 

(a) Disclosure Controls and Procedures

Disclosure controls and procedures refer to controls and other procedures designed to provide reasonable assurance that information required to be disclosed in our financial reports is recorded, processed, summarized and reported within the time periods specified by SEC rules and forms and that such information is accumulated and communicated to management, including our Chief Executive Officer (“CEO”) and Chief Financial Officer (“CFO”), as appropriate, to allow timely decisions regarding our required disclosure. In designing and evaluating our disclosure controls and procedures, we recognize that any controls and procedures, no matter how well designed and operated, can provide only reasonable assurance of achieving the desired control objectives, and we must apply judgment in evaluating and implementing possible controls and procedures. 

Evaluation of Disclosure Controls and Procedures

As required by Rule 13a-15 of the Securities Exchange Act of 1934 (“Exchange Act”), our management, including the CEO and CFO, conducted an evaluation of the effectiveness of our disclosure controls and procedures (as that term is defined in Rules 13a-15(e) and 15d-15(e) of the Exchange Act) as of September 30, 2024, the end of the period covered by this Report. Based upon that evaluation, the CEO and CFO concluded that our disclosure controls and procedures were effective as of September 30, 2024, at a reasonable level of assurance, in recording, processing, summarizing and reporting information required to be disclosed within the time periods specified by the SEC rules and forms.

(b) Changes in Internal Control Over Financial Reporting

We regularly review our disclosure controls and procedures and make changes intended to ensure the quality of our financial reporting. There were no changes in internal control over financial reporting that occurred in the third quarter of 2024 that materially affected, or are reasonably likely to materially affect, the Company’s internal control over financial reporting.

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PART II—OTHER INFORMATION

Item 1. Legal Proceedings

The information required by Item 103 of Regulation S-K is included in “Part I—Item 1. Financial Statements—Note 14—Commitments, Contingencies, Guarantees and Others.”

Item 1A. Risk Factors

We are not aware of any material changes from the risk factors set forth under “Part I—Item 1A. Risk Factors” in our 2023 Form 10-K.

Item 2. Unregistered Sales of Equity Securities and Use of Proceeds

The following table presents information related to the repurchases of shares of our common stock for each calendar month in the third quarter of 2024. Commission costs are excluded from the amounts presented below.

						Total Number of Shares Purchased(1)						Average Price  per Share						Total Number of Shares Purchased as Part of Publicly Announced Plans(1)						Maximum Amount That May Yet be Purchased Under the Plan or Program(1) (in millions)
July						402,507						$	143.69					402,507						$	4,276
August						560,748						124.28						421,674						4,217
September						237,214						141.29						237,214						4,184
Total						1,200,469						136.61						1,061,395

(1) In April 2022, our Board of Directors authorized the repurchase of up to $5.0 billion of shares of our common stock. There were 139,074 shares withheld in August to cover taxes on restricted stock awards whose restrictions lapsed. See “Part I—Item 2. MD&A—Capital Management—Dividend Policy and Stock Purchases” for more information.

Item 3. Defaults Upon Senior Securities

None.

Item 4. Mine Safety Disclosures

Not applicable.

Item 5. Other Information

Rule 10b5-1 and Non-Rule 10b5-1 Trading Arrangements

During the three months ended September 30, 2024, certain of our officers and directors adopted or terminated Rule 10b5-1 trading arrangements as follows:

Mark Daniel Mouadeb, our President, U.S. Card, entered into a pre-arranged stock trading plan on July 25, 2024. Mr. Mouadeb’s plan provides for the associated sale of up to 1,993.795 shares of Capital One common stock in amounts and prices set forth in the plan and terminates on the earlier of the date all shares under the plan are sold and December 31, 2024.

Robert M. Alexander, our Chief Information Officer, entered into a pre-arranged stock trading plan on August 8, 2024. Mr. Alexander’s plan provides for the associated sale of up to 16,594 shares of Capital One common stock in amounts and prices set forth in the plan and terminates on the earlier of the date all shares under the plan are sold and October 29, 2025.

Michael Zamsky, our Chief Credit and Financial Risk Officer, entered into a pre-arranged stock trading plan on August 13, 2024. Mr. Zamsky’s plan provides for the associated sale of up to 20,101 shares of Capital One common stock in amounts and prices set forth in the plan and terminates on the earlier of the date all shares under the plan are sold and May 12, 2025.

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Each of the trading plans was entered into during an open insider trading window and is intended to satisfy the affirmative defense of Rule 10b5-1(c) under the Securities Exchange Act of 1934, as amended, and Capital One’s policies regarding transactions in its securities.

Item 6. Exhibits

An index to exhibits has been filed as part of this Report and is incorporated herein by reference.

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EXHIBIT INDEX

Exhibit No.						Description
2.1						Agreement and Plan of Merger, dated as of February 19, 2024, by and among Discover Financial Services, Capital One Financial Corporation and Vega Merger Sub, Inc. (incorporated by reference to Exhibit 2.1 of the Current Report on Form 8-K, filed on February 22, 2024).
3.1						Restated Certificate of Incorporation of Capital One Financial Corporation (as restated July 26, 2023) (incorporated by reference to Exhibit 3.1 of the Quarterly Report on Form 10-Q, filed on July 27, 2023).
3.2						Amended and Restated Bylaws of Capital One Financial Corporation, dated September 23, 2021 (incorporated by reference to Exhibit 3.1 of the Current Report on Form 8-K, filed on September 29, 2021).
4.1						Pursuant to Item 601(b)(4)(iii)(A) of Regulation S-K, copies of instruments defining the rights of holders of long-term debt are not filed. The Company agrees to furnish a copy thereof to the SEC upon request.
31.1*						Certification of Richard D. Fairbank.
31.2*						Certification of Andrew M. Young.
32.1**						Certification of Richard D. Fairbank.
32.2**						Certification of Andrew M. Young.
101.INS						XBRL Instance Document - the instance document does not appear in the Interactive Data File because its XBRL tags are embedded within the Inline XBRL Document.
101.SCH*						Inline XBRL Taxonomy Extension Schema Document.
101.CAL*						Inline XBRL Taxonomy Extension Calculation Linkbase Document.
101.DEF*						Inline XBRL Taxonomy Extension Definition Linkbase Document.
101.LAB*						Inline XBRL Taxonomy Extension Label Linkbase Document.
101.PRE*						Inline XBRL Taxonomy Extension Presentation Linkbase Document.
104						The cover page of Capital One Financial Corporation’s Quarterly Report on Form 10-Q for the quarter ended September 30, 2024, formatted in Inline XBRL (included within the Exhibit 101 attachments).

__________

+

Represents a management contract or compensatory plan or arrangement.

*

Indicates a document being filed with this Form 10-Q.

**

Indicates a document being furnished with this Form 10-Q. Information in this Form 10-Q furnished herewith shall not be deemed to be “filed” for the purposes of Section 18 of the Securities Exchange Act of 1934, as amended, or otherwise subject to the liabilities of that Section. Such exhibit shall not be deemed incorporated by reference into any filing under the Securities Act of 1933, as amended, or the Securities Exchange Act of 1934.

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SIGNATURES

Pursuant to the requirements of Section 13 of 15(d) of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

CAPITAL ONE FINANCIAL CORPORATION

Date: October 31, 2024

By:

/s/ ANDREW M. YOUNG

Andrew M. Young

Chief Financial Officer

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