CAPITAL ONE FINANCIAL CORP - FORM 8-K - EX-99.2 - EXHIBIT 99.2

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8-K - FORM 8-K - CAPITAL ONE FINANCIAL CORP	d245193d8k.htm
EX-99.1 - EXHIBIT 99.1 - CAPITAL ONE FINANCIAL CORP	d245193dex991.htm
EX-99.3 - EXHIBIT 99.3 - CAPITAL ONE FINANCIAL CORP	d245193dex993.htm

Exhibit 99.2

Capital One Financial Corporation

Financial Supplement

Third Quarter 2011⁽¹⁾

Table of Contents


		Page

Capital One Financial Consolidated
Table 1:	Financial & Statistical Summary—Consolidated		1
Table 2:	Notes to Consolidated Financial & Statistical Summary (Table 1)		2
Table 3:	Consolidated Statements of Income		3
Table 4:	Consolidated Balance Sheets		4
Table 5:	Average Balances, Net Interest Income and Net Interest Margin		5
Table 6:	Loan Information and Performance Statistics		6

Business Segment Detail
Table 7:	Financial & Statistical Summary—Credit Card Business		7
Table 8:	Financial & Statistical Summary—Consumer Banking Business		8
Table 9:	Financial & Statistical Summary—Commercial Banking Business		9
Table 10:	Financial & Statistical Summary—Other and Total		10
Table 11:	Notes to Loan and Business Segment Disclosures (Tables 6 — 10)		11

Other
Table 12:	Reconciliation of Non-GAAP Measures and Calculation of Regulatory Capital Measures		12

(1)	The information contained in this Financial Supplement is preliminary and based on data available at the time of the earnings presentation, and investors should refer to our Quarterly Report on Form 10-Q once it is filed with the Securities and Exchange Commission.

CAPITAL ONE FINANCIAL CORPORATION (COF)

Table 1: Financial & Statistical Summary—Consolidated


(Dollars in millions, except per share data and as noted) (unaudited)	2011 Q3			2011 Q2			2011 Q1			2010 Q4			2010 Q3
Earnings
Net interest income	$	3,283		$	3,136		$	3,140		$	3,023		$	3,109
Non-interest income ⁽¹⁾⁽²⁾		871			857			942			939			907

Total revenue ⁽³⁾	$	4,154		$	3,993		$	4,082		$	3,962		$	4,016
Provision for loan and lease losses		622			343			534			839			867
Marketing expenses		312			329			276			308			250
Operating expenses ⁽⁴⁾		1,985			1,926			1,886			1,783			1,746

Income from continuing operations before income taxes	$	1,235		$	1,395		$	1,386		$	1,032		$	1,153
Income tax provision		370			450			354			331			335

Income from continuing operations, net of tax		865			945			1,032			701			818
Loss from discontinued operations, net of tax ⁽²⁾		(52	)		(34	)		(16	)		(4	)		(15	)

Net income	$	813		$	911		$	1,016		$	697		$	803

Common Share Statistics
Basic EPS:
Income from continuing operations, net of tax	$	1.90		$	2.07		$	2.27		$	1.55		$	1.81
Loss from discontinued operations, net of tax		(0.12	)		(0.07	)		(0.03	)		(0.01	)		(0.03	)

Net income per common share	$	1.78		$	2.00		$	2.24		$	1.54		$	1.78

Diluted EPS:
Income from continuing operations, net of tax	$	1.88		$	2.04		$	2.24		$	1.53		$	1.79
Loss from discontinued operations, net of tax		(0.11	)		(0.07	)		(0.03	)		(0.01	)		(0.03	)

Net income per common share	$	1.77		$	1.97		$	2.21		$	1.52		$	1.76

Weighted average common shares outstanding (in millions):
Basic EPS		456.0			455.6			454.1			452.7			452.5
Diluted EPS		460.4			462.2			460.3			457.2			456.6
Common shares outstanding (period end)		456.1			455.8			455.2			452.8			452.6
Dividends per common share	$	0.05		$	0.05		$	0.05		$	0.05		$	0.05
Tangible book value per common share (period end)⁽⁵⁾		33.82			32.20			29.70			27.73			26.60
Stock price per common share (period end)		39.63			51.67			51.96			42.56			39.55
Total market capitalization (period end)		18,075			23,551			23,652			19,271			17,900
Balance Sheet (Period End)
Loans held for investment⁽⁶⁾	$	129,952		$	128,965		$	124,092		$	125,947		$	126,334
Interest-earning assets		174,308			174,302			172,849			172,024			170,520
Total assets		200,148			199,753			199,300			197,503			196,933
Tangible assets⁽⁷⁾		185,891			185,715			184,928			183,158			182,904
Interest-bearing deposits		110,777			109,278			109,097			107,162			104,741
Total deposits		128,318			126,117			125,446			122,210			119,212
Borrowings		34,315			37,735			39,797			41,796			44,333
Stockholders’ equity		29,378			28,681			27,550			26,541			26,061
Tangible common equity (TCE) ⁽⁸⁾		15,425			14,675			13,520			12,558			12,037
Balance Sheet (Quarterly Average Balances)
Average loans held for investment⁽⁶⁾	$	129,043		$	127,916		$	125,077		$	125,441		$	126,307
Average interest-earning assets		177,710			174,143			173,540			173,992			172,473
Average total assets		201,611			199,229			198,075			197,704			196,598
Average interest-bearing deposits		110,750			109,251			108,633			106,597			104,186
Average total deposits		128,268			125,834			124,158			121,736			118,255
Average borrowings		37,366			39,451			40,538			42,428			45,910
Average stockholders’ equity		29,316			28,255			27,009			26,255			25,307
Performance Metrics
Net interest income growth (quarter over quarter)		5	%		—	%		4	%		(3	)%		—	%
Non-interest income growth (quarter over quarter)		2			(9	)		—			4			12
Revenue growth (quarter over quarter)		4			(2	)		3			(1	)		3
Revenue margin ⁽⁹⁾		9.35			9.17			9.41			9.11			9.31
Net interest margin ⁽¹⁰⁾		7.39			7.20			7.24			6.95			7.21
Return on average assets ⁽¹¹⁾		1.72			1.90			2.08			1.42			1.66
Return on average equity ⁽¹²⁾		11.80			13.38			15.28			10.68			12.93
Return on average tangible common equity⁽¹³⁾		22.58			26.57			31.73			22.90			28.95
Non-interest expense as a % of average loans held for investment ⁽¹⁴⁾		7.12			7.05			6.91			6.67			6.32
Efficiency ratio ⁽¹⁵⁾		55.30			56.47			52.96			52.78			49.70
Effective income tax rate		30.0			32.3			25.5			32.1			29.1
Full-time equivalent employees (in thousands)		29.5			28.2			27.9			25.7			25.7
Credit Quality Metrics ⁽¹⁶⁾
Allowance for loan and lease losses	$	4,280		$	4,488		$	5,067		$	5,628		$	6,175
Allowance as a % of loans held for investment		3.29	%		3.48	%		4.08	%		4.47	%		4.89	%
Net charge-offs	$	812		$	931		$	1,145		$	1,394		$	1,522
Net charge-off rate ^(17)(18)		2.52	%		2.91	%		3.66	%		4.45	%		4.82	%
30+ day performing delinquency rate		3.13			2.90			3.07			3.52			3.71
Capital Ratios
Tier 1 risk-based capital ratio ⁽¹⁹⁾		12.4	%		11.8	%		10.9	%		11.6	%		11.1	%
Tier 1 common equity ratio ⁽²⁰⁾		10.0			9.4			8.4			8.8			8.2
Total risk-based capital ratio ⁽²¹⁾		15.4			15.0			14.2			16.8			16.4
Tangible common equity (TCE) ratio⁽²²⁾		8.3			7.9			7.3			6.9			6.6

Page 1

CAPITAL ONE FINANCIAL CORPORATION (COF)

Table 2: Notes to Consolidated Financial & Statistical Summary (Table 1)

(1)	Includes the impact from the change in fair value of retained interests, including interest-only strips, which totaled $12 million in Q3 2011, $16 million in Q2 2011, $7 million in Q1 2011, $8 million in Q4 2010 and $6 million in Q3 2010.

(2)

The mortgage representation and warranty reserve increased to $892 million as of September 30, 2011, from $869 million as of June 30, 2011. We recorded a provision for repurchase losses of $72 million in Q3 2011, $37 million in Q2 2011, $44 million in Q1 2011, $(7) million in Q4 2010 and $16 million in Q3 2010. The majority of the provision for repurchase losses is included in discontinued operations, with the remaining portion included in non-interest income.

(3)

The estimated uncollectible amount of billed finance charges and fees excluded from revenue totaled $24 million in Q3 2011, $112 million in Q2 2011, $105 million in Q1 2011, $144 million in Q4 2010 and $190 million in Q3 2010. In the third quarter of 2011, we made a change to the way we estimate recoveries in determining the uncollectible amount of finance charges and fees, which significantly reduced the uncollectible amount of billed finance charges and fees excluded from revenue in Q3 2011.

(4)

Includes core deposit intangible amortization expense of $42 million in Q3 2011, $44 million in Q2 2011, $45 million in Q1 2011, $47 million in Q4 2010 and $49 million in Q3 2010 and integration costs of $1 million in Q3 2011, $0 million in Q2 2011, $2 million in Q1 2011, $15 million in Q4 2010 and $27 million in Q3 2010.

(5)	Tangible book value per common share is a non-GAAP measure calculated based on tangible common equity divided by common shares outstanding. See “Table 12: Reconciliation of Non-GAAP Measures and Calculation of Regulatory Capital Measures” for the calculation of tangible common equity.

(6)	Amounts for Q3 2011 and Q2 2011 reflect the impact of the April 1, 2011 acquisition of the existing private-label credit card loan portfolio of Kohl’s Department Stores (“Kohl’s”), which had an outstanding principal and interest balance of approximately $3.7 billion at acquisition.

(7)	Tangible assets is a non-GAAP measure consisting of total assets less assets from discontinued operations and intangible assets. See “Table 12: Reconciliation of Non-GAAP Measures and Calculation of Regulatory Capital Measures” for the calculation of this measure.

(8)	Tangible common equity is a non-GAAP measure consisting of total stockholders’ equity less intangible assets. See “Table 12: Reconciliation of Non-GAAP Measures and Calculation of Regulatory Capital Measures” for the calculation of this measure.

(9)	Calculated based on annualized total revenue for the period divided by average interest-earning assets for the period.

(10)	Calculated based on annualized net interest income for the period divided by average interest-earning assets for the period.

(11)	Calculated based on annualized income from continuing operations, net of tax, for the period divided by average total assets for the period.

(12)	Calculated based on annualized income from continuing operations, net of tax, for the period divided by average stockholders’ equity for the period.

(13)	Calculated based on annualized income from continuing operations, net of tax, for the period divided by average tangible common equity for the period.

(14)	Calculated based on annualized non-interest expense for the period divided by average loans held for investment for the period.

(15)	Calculated based on non-interest expense for the period divided by total revenue for the period.

(16)

Purchased credit impaired (“PCI”) loans acquired as part of the Chevy Chase Bank (“CCB”) acquisition are included in the denominator used in calculating the credit quality metrics presented in Table 1. These metrics excluding the impact of loans acquired from CCB from the denominator are presented below:


(Dollars in millions) (unaudited)	2011 Q3			2011 Q2			2011 Q1			2010 Q4			2010 Q3
CCB period-end acquired loan portfolio	$	4,873		$	5,181		$	5,351		$	5,532		$	5,891
CCB average acquired loan portfolio		4,998			5,112			5,305			5,633			6,014
Allowance as a % of loans held for investment, excluding CCB loans		3.42	%		3.63	%		4.27	%		4.67	%		5.12	%
Net charge-off rate, excluding CCB loans		2.62			3.03			3.82			4.65			5.06
30+ day performing delinquency rate, excluding CCB loans		3.32			3.08			3.25			3.76			3.89

(17)	In accordance with our loss-sharing agreement with Kohl’s, charge-offs for the portfolio are reported net of any reimbursement of credit losses from Kohl’s, which has the impact of lowering the overall charge-off rate.

(18)	Calculated based on annualized net charge-offs for the period divided by average loans held for investment for the period.

(19)	Tier 1 risk-based capital ratio is a regulatory capital measure calculated based on Tier 1 capital divided by risk-weighted assets. See “Table 12: Reconciliation of Non-GAAP Measures and Calculation of Regulatory Capital Measures” for the calculation of this ratio.

(20)	Tier 1 common equity ratio is a non-GAAP measure calculated based on Tier 1 common equity divided by risk-weighted assets. See “Table 12: Reconciliation of Non-GAAP Measures and Calculation of Regulatory Capital Measures” for the calculation of this ratio and non-GAAP reconciliation.

(21)	Total risk-based capital ratio is a regulatory capital measure calculated based on total risk-based capital divided by risk-weighted assets. See “Table 12: Reconciliation of Non-GAAP Measures and Calculation of Regulatory Capital Measures” for the calculation of this ratio.

(22)	Tangible common equity ratio (“TCE ratio”) is a non-GAAP measure calculated based on tangible common equity divided by tangible assets. See “Table 12: Reconciliation of Non-GAAP Measures and Calculation of Regulatory Capital Measures” for the calculation of this ratio and non-GAAP reconciliation.

Page 2

CAPITAL ONE FINANCIAL CORPORATION (COF)

Table 3: Consolidated Statements of Income

		September 30,		September 30,		September 30,		September 30,		September 30,
	Three Months Ended						Nine Months Ended
(Dollars in millions, except per share data) (unaudited)	September 30, 2011		June 30, 2011		September 30, 2010		September 30, 2011		September 30, 2010
Interest income:
Loans held for investment, including past-due fees	$	3,550	$	3,367	$	3,447	$	10,334	$	10,582
Investment securities		264		313		347		893		1,037
Cash equivalents and other		21		19		21		59		60

Total interest income		3,835		3,699		3,815		11,286		11,679


Interest expense:
Deposits		294		307		358		923		1,125
Securitized debt obligations		89		113		191		342		644
Senior and subordinated notes		84		63		72		211		211
Other borrowings		85		80		85		251		265

Total interest expense		552		563		706		1,727		2,245


Net interest income		3,283		3,136		3,109		9,559		9,434
Provision for loan and lease losses		622		343		867		1,499		3,069

Net interest income after provision for loan and lease losses		2,661		2,793		2,242		8,060		6,365


Non-interest income:
Servicing and securitizations		12		12		13		35		(3)
Service charges and other customer-related fees		542		460		496		1,527		1,577
Interchange		321		331		346		972		991
Net other-than-temporary impairment losses recognized in earnings		(6)		(6)		(5)		(15)		(62)
Other		2		60		57		151		272

Total non-interest income		871		857		907		2,670		2,775


Non-interest expense:
Salaries and associate benefits		750		715		641		2,206		1,937
Marketing		312		329		250		917		650
Communications and data processing		178		162		178		504		512
Supplies and equipment		143		124		129		402		381
Occupancy		122		118		135		359		371
Other		792		807		663		2,326		1,992

Total non-interest expense		2,297		2,255		1,996		6,714		5,843

Income from continuing operations before income taxes		1,235		1,395		1,153		4,016		3,297
Income tax provision		370		450		335		1,174		948

Income from continuing operations, net of tax		865		945		818		2,842		2,349
Loss from discontinued operations, net of tax		(52)		(34)		(15)		(102)		(303)

Net income	$	813	$	911	$	803	$	2,740	$	2,046


Basic earnings per common share:
Income from continuing operations	$	1.90	$	2.07	$	1.81	$	6.24	$	5.19
Loss from discontinued operations		(0.12)		(0.07)		(0.03)		(0.22)		(0.66)

Net income per common share	$	1.78	$	2.00	$	1.78	$	6.02	$	4.53


Diluted earnings per common share:
Income from continuing operations	$	1.88	$	2.04	$	1.79	$	6.17	$	5.15
Loss from discontinued operations		(0.11)		(0.07)		(0.03)		(0.22)		(0.66)

Net income per common share	$	1.77	$	1.97	$	1.76	$	5.95	$	4.49


Weighted average common shares outstanding (in millions):
Basic EPS		456.0		455.6		452.5		455.2		451.9
Diluted EPS		460.4		462.2		456.6		461.0		456.0

Dividends per common share	$	0.05	$	0.05	$	0.05	$	0.15	$	0.15

Page 3

CAPITAL ONE FINANCIAL CORPORATION (COF)

Table 4: Consolidated Balance Sheets


(Dollars in millions)(unaudited)	September 30, 2011		December 31, 2010		September 30, 2010

Assets:
Cash and due from banks	$	1,794	$	2,067	$	2,015
Interest-bearing deposits with banks		3,238		2,776		2,391
Federal funds sold and repurchase agreements		1,326		406		536

Cash and cash equivalents		6,358		5,249		4,942
Restricted cash for securitization investors		984		1,602		2,686
Securities available for sale, at fair value		38,400		41,537		39,926
Loans held for investment:
Unsecuritized loans held for investment, at amortized cost		83,010		71,921		74,719
Restricted loans for securitization investors		46,942		54,026		51,615

Total loans held for investment		129,952		125,947		126,334
Less: Allowance for loan and lease losses		(4,280)		(5,628)		(6,175)

Net loans held for investment		125,672		120,319		120,159
Loans held for sale, at lower-of-cost-or-fair-value		312		228		197
Accounts receivable from securitizations		101		118		127
Premises and equipment, net		2,785		2,749		2,722
Interest receivable		958		1,070		1,025
Goodwill		13,593		13,591		13,593
Other		10,985		11,040		11,556

Total assets	$	200,148	$	197,503	$	196,933


Liabilities:
Interest payable	$	401	$	488	$	464
Customer deposits:
Non-interest bearing deposits		17,541		15,048		14,471
Interest-bearing deposits		110,777		107,162		104,741

Total customer deposits		128,318		122,210		119,212
Securitized debt obligations		17,120		26,915		29,504
Other debt:
Federal funds purchased and securities loaned or sold under agreements to repurchase		1,441		1,517		947
Senior and subordinated notes		11,051		8,650		9,083
Other borrowings		4,703		4,714		4,799

Total other debt		17,195		14,881		14,829
Other liabilities		7,736		6,468		6,863

Total liabilities		170,770		170,962		170,872


Stockholders’ equity:
Common stock		5		5		5
Paid-in capital, net		19,234		19,084		19,059
Retained earnings and accumulated other comprehensive income		13,382		10,654		10,199
Less: Treasury stock, at cost		(3,243)		(3,202)		(3,202)

Total stockholders’ equity		29,378		26,541		26,061

Total liabilities and stockholders’ equity	$	200,148	$	197,503	$	196,933

Page 4

CAPITAL ONE FINANCIAL CORPORATION (COF)

Table 5: Average Balances, Net Interest Income and Net Interest Margin


	Quarter Ended 09/30/11							Quarter Ended 06/30/11							Quarter Ended 09/30/10
(Dollars in millions)(unaudited)	Average Balance		Interest Income/ Expense		Yield/ Rate			Average Balance		Interest Income/ Expense		Yield/ Rate			Average Balance		Interest Income/ Expense		Yield/ Rate
Interest-earning assets:
Loans held for investment	$	129,043	$	3,550		11.00	%	$	127,916	$	3,367		10.53	%	$	126,307	$	3,447		10.92	%
Investment securities		37,189		264		2.84			40,381		313		3.10			39,872		347		3.48
Cash equivalents and other		11,478		21		0.73			5,846		19		1.30			6,294		21		1.33

Total interest-earning assets	$	177,710	$	3,835		8.63	%	$	174,143	$	3,699		8.50	%	$	172,473	$	3,815		8.85	%


Interest-bearing liabilities:
Interest-bearing deposits
NOW accounts	$	12,602	$	9		0.29	%	$	13,186	$	9		0.27	%	$	11,333	$	10		0.35	%
Money market deposit accounts		47,483		100		0.84			45,527		99		0.87			43,260		104		0.96
Savings accounts		30,944		56		0.72			29,329		60		0.82			22,572		49		0.87
Other consumer time deposits		13,530		84		2.48			14,330		91		2.54			18,726		133		2.84
Public fund CD’s of $100,000 or more		92		1		4.35			110		1		3.64			220		1		1.82
CD’s of $100,000 or more		5,407		43		3.18			5,867		46		3.14			7,256		59		3.25
Foreign time deposits		692		1		0.58			902		1		0.44			819		2		0.98

Total interest-bearing deposits	$	110,750	$	294		1.06	%	$	109,251	$	307		1.12	%	$	104,186	$	358		1.37	%
Securitized debt obligations		18,478		89		1.93			22,191		113		2.04			30,750		191		2.48
Senior and subordinated notes		10,519		84		3.19			8,093		63		3.11			8,677		72		3.32
Other borrowings		8,369		85		4.06			9,167		80		3.49			6,483		85		5.24

Total interest-bearing liabilities	$	148,116	$	552		1.49	%	$	148,702	$	563		1.51	%	$	150,096	$	706		1.88	%


Net interest income/spread			$	3,283		7.14	%			$	3,136		6.99	%			$	3,109		6.96	%


Interest income to average interest-earning assets						8.63	%						8.50	%						8.85	%
Interest expense to average interest-earning assets						1.24							1.30							1.64

Net interest margin						7.39	%						7.20	%						7.21	%

Page 5

CAPITAL ONE FINANCIAL CORPORATION (COF)

Table 6: Loan Information and Performance Statistics⁽¹⁾


(Dollars in millions)(unaudited)	2011 Q3			2011 Q2			2011 Q1			2010 Q4			2010 Q3
Period-end loans held for investment
Credit card:
Domestic credit card ⁽²⁾	$	53,820		$	53,994		$	50,570		$	53,849		$	53,839
International credit card		8,210			8,711			8,735			7,522			7,487

Total credit card		62,030			62,705			59,305			61,371			61,326

Consumer banking:
Automobile		20,422			19,223			18,342			17,867			17,643
Home loan		10,916			11,323			11,741			12,103			12,763
Retail banking		4,014			4,046			4,223			4,413			4,591

Total consumer banking		35,352			34,592			34,306			34,383			34,997

Commercial banking:
Commercial and multifamily real estate		14,389			14,035			13,543			13,396			13,475
Middle market		11,924			11,404			10,758			10,484			10,364
Specialty lending		4,221			4,122			3,936			4,020			3,813

Total commercial lending		30,534			29,561			28,237			27,900			27,652
Small-ticket commercial real estate		1,571			1,642			1,780			1,842			1,890

Total commercial banking		32,105			31,203			30,017			29,742			29,542

Other loans⁽³⁾		465			465			464			451			469

Total	$	129,952		$	128,965		$	124,092		$	125,947		$	126,334

Average loans held for investment
Credit card:
Domestic credit card ⁽²⁾	$	53,668		$	53,868		$	51,889		$	53,189		$	54,049
International credit card		8,703			8,823			8,697			7,419			7,342

Total credit card		62,371			62,691			60,586			60,608			61,391

Consumer banking:
Automobile		19,757			18,753			18,025			17,763			17,397
Home loan		11,126			11,534			11,960			12,522			13,024
Retail banking		3,979			4,154			4,251			4,466			4,669

Total consumer banking		34,862			34,441			34,236			34,751			35,090

Commercial banking:
Commercial and multifamily real estate		14,021			13,597			13,345			13,323			13,411
Middle market		11,572			10,979			10,666			10,460			10,352
Specialty lending		4,154			4,014			3,964			3,947			3,715

Total commercial lending		29,747			28,590			27,975			27,730			27,478
Small-ticket commercial real estate		1,598			1,726			1,818			1,887			1,957

Total commercial banking		31,345			30,316			29,793			29,617			29,435

Other loans⁽³⁾		465			468			462			465			475

Total	$	129,043		$	127,916		$	125,077		$	125,441		$	126,391

Net charge-off rates
Credit card:
Domestic credit card⁽⁴⁾		3.92	%		4.74	%		6.20	%		7.28	%		8.23	%
International credit card		6.15			7.02			5.74			6.68			7.60

Total credit card		4.23	%		5.06	%		6.13	%		7.21	%		8.16	%

Consumer banking:
Automobile⁽⁵⁾		1.69	%		1.11	%		1.98	%		2.65	%		2.71	%
Home loan⁽⁶⁾		0.53			0.60			0.71			0.89			0.41
Retail banking⁽⁶⁾		1.67			1.73			2.24			2.40			2.20

Total consumer banking⁽⁶⁾		1.32	%		1.01	%		1.57	%		1.98	%		1.79	%

Commercial banking:
Commercial and multifamily real estate⁽⁶⁾		0.12	%		0.39	%		0.56	%		1.15	%		1.78	%
Middle market⁽⁶⁾		0.41			0.13			0.18			0.94			0.43
Specialty lending		0.44			0.47			0.30			0.63			0.64

Total commercial lending⁽⁶⁾		0.28	%		0.30	%		0.38	%		1.00	%		1.11	%
Small-ticket commercial real estate		2.19			3.77			7.14			7.72			3.48

Total commercial banking⁽⁶⁾		0.37	%		0.50	%		0.79	%		1.43	%		1.27	%

Other loans		6.39	%		10.57	%		19.91	%		21.11	%		17.63	%

Total		2.52	%		2.91	%		3.66	%		4.45	%		4.82	%

30+ day performing delinquency rates
Credit card:
Domestic credit card		3.65	%		3.33	%		3.59	%		4.09	%		4.53	%
International credit card		5.35			5.30			5.55			5.75			5.84

Total credit card		3.87	%		3.60	%		3.88	%		4.29	%		4.69	%

Consumer banking:
Automobile		6.34	%		6.09	%		5.79	%		7.58	%		7.42	%
Home loan⁽⁶⁾		0.78			0.70			0.61			0.64			0.69
Retail banking⁽⁶⁾		0.89			0.76			0.93			0.93			1.08

Total consumer banking⁽⁶⁾		4.01	%		3.70	%		3.42	%		4.28	%		4.14	%



Nonperforming asset rates^{(7) (8)}
Consumer banking:
Automobile		0.53	%		0.49	%		0.39	%		0.64	%		0.60	%
Home loan⁽⁶⁾		4.74			4.40			4.34			4.25			4.09
Retail banking⁽⁶⁾		2.37			2.45			2.44			2.66			2.41

Total consumer banking⁽⁶⁾		2.04	%		2.00	%		2.00	%		2.17	%		2.11	%

Commercial banking:
Commercial and multifamily real estate⁽⁶⁾		2.16	%		2.35	%		2.63	%		2.23	%		2.42	%
Middle market⁽⁶⁾		1.04			1.19			1.14			1.33			1.38
Specialty lending		0.87			0.95			1.19			1.30			1.75

Total commercial lending⁽⁶⁾		1.54	%		1.71	%		1.86	%		1.76	%		1.94	%
Small-ticket commercial real estate		1.58			0.75			3.39			2.38			2.04

Total commercial banking⁽⁶⁾		1.55	%		1.66	%		1.95	%		1.80	%		1.94	%

Page 6

CAPITAL ONE FINANCIAL CORPORATION (COF)

Table 7: Financial & Statistical Summary—Credit Card Business


(Dollars in millions) (unaudited)	2011 Q3			2011 Q2			2011 Q1			2010 Q4			2010 Q3
Credit Card
Earnings:
Net interest income	$	2,042		$	1,890		$	1,941		$	1,870		$	1,934
Non-interest income		678			619			674			672			671

Total revenue	$	2,720		$	2,509		$	2,615		$	2,542		$	2,605
Provision for loan and lease losses		511			309			450			589			660
Non-interest expense		1,188			1,238			1,178			1,056			978

Income from continuing operations before taxes		1,021			962			987			897			967
Income tax provision		358			344			344			311			336

Income from continuing operations, net of tax	$	663		$	618		$	643		$	586		$	631

Selected metrics:
Period end loans held for investment	$	62,030		$	62,705		$	59,305		$	61,371		$	61,326
Average loans held for investment		62,371			62,691			60,586			60,608			61,391
Average yield on loans held for investment		14.84	%		13.83	%		14.68	%		14.28	%		14.65	%
Revenue margin		17.44			16.01			17.26			16.78			16.97
Net charge-off rate		4.23			5.06			6.13			7.21			8.16
30+ day delinquency rate⁽⁹⁾		3.87			3.60			3.88			4.29			4.69
Purchase volume⁽¹⁰⁾	$	34,918		$	34,226		$	27,797		$	29,379		$	27,039
Domestic Card
Earnings:
Net interest income	$	1,753		$	1,607		$	1,651		$	1,621		$	1,691
Non-interest income		588			584			583			594			575

Total revenue	$	2,341		$	2,191		$	2,234		$	2,215		$	2,266
Provision for loan and lease losses		381			187			230			505			577
Non-interest expense		972			1,008			990			935			844

Income from continuing operations before taxes		988			996			1,014			775			845
Income tax provision		351			354			360			276			301

Income from continuing operations, net of tax	$	637		$	642		$	654		$	499		$	544

Selected metrics:
Period end loans held for investment	$	53,820		$	53,994		$	50,570		$	53,849		$	53,839
Average loans held for investment		53,668			53,868			51,889			53,189			54,049
Average yield on loans held for investment		14.62	%		13.52	%		14.42	%		13.96	%		14.40	%
Revenue margin		17.45			16.27			17.22			16.66			16.77
Net charge-off rate⁽⁴⁾		3.92			4.74			6.20			7.28			8.23
30+ day delinquency rate⁽⁹⁾		3.65			3.33			3.59			4.09			4.53
Purchase volume⁽¹⁰⁾	$	31,686		$	31,070		$	25,024		$	26,985		$	24,858
International Card
Earnings:
Net interest income	$	289		$	283		$	290		$	249		$	243
Non-interest income		90			35			91			78			96

Total revenue	$	379		$	318		$	381		$	327		$	339
Provision for loan and lease losses		130			122			220			84			83
Non-interest expense		216			230			188			121			134

Income (loss) from continuing operations before taxes		33			(34	)		(27	)		122			122
Income tax provision (benefit)		7			(10	)		(16	)		35			35

Income (loss) from continuing operations, net of tax	$	26		$	(24	)	$	(11	)	$	87		$	87

Selected metrics:
Period end loans held for investment	$	8,210		$	8,711		$	8,735		$	7,522		$	7,487
Average loans held for investment		8,703			8,823			8,697			7,419			7,342
Average yield on loans held for investment		16.24	%		15.77	%		16.28	%		16.61	%		16.40	%
Revenue margin		17.42			14.42			17.52			17.63			18.47
Net charge-off rate		6.15			7.02			5.74			6.68			7.60
30+ day delinquency rate⁽⁹⁾		5.35			5.30			5.55			5.75			5.84
Purchase volume⁽¹⁰⁾	$	3,232		$	3,156		$	2,773		$	2,394		$	2,181

Page 7

CAPITAL ONE FINANCIAL CORPORATION (COF)

Table 8: Financial & Statistical Summary—Consumer Banking Business


(Dollars in millions) (unaudited)	2011 Q3			2011 Q2			2011 Q1			2010 Q4			2010 Q3
Consumer Banking
Earnings:
Net interest income	$	1,097		$	1,051		$	983		$	950		$	946
Non-interest income		188			194			186			196			196

Total revenue	$	1,285		$	1,245		$	1,169		$	1,146		$	1,142
Provision for loan and lease losses		136			41			95			189			114
Non-interest expense		853			758			740			770			757

Income from continuing operations before taxes		296			446			334			187			271
Income tax provision		106			159			119			67			96

Income from continuing operations, net of tax	$	190		$	287		$	215		$	120		$	175


Selected metrics:
Period end loans held for investment	$	35,352		$	34,592		$	34,306		$	34,383		$	34,997
Average loans held for investment		34,862			34,441			34,236			34,751			35,090
Average yield on loans held for investment		9.83	%		9.51	%		9.60	%		9.20	%		9.28	%
Auto loan originations	$	3,409		$	2,910		$	2,571		$	2,217		$	2,439
Period end deposits		88,589			87,282			86,355			82,959			79,506
Average deposits		88,266			86,926			83,884			81,834			78,224
Deposit interest expense rate		0.95	%		1.00	%		1.06	%		1.13	%		1.18	%
Core deposit intangible amortization	$	32		$	34		$	35		$	34		$	36
Net charge-off rate^(5) (6)		1.32	%		1.01	%		1.57	%		1.98	%		1.79	%
Nonperforming loans as a percentage of loans held for investment^(6) (7)		1.88			1.83			1.84			1.97			1.92
Nonperforming asset rate^(6) (7)		2.04			2.00			2.00			2.17			2.11
30+ day performing delinquency rate^(6) (7)		4.01			3.70			3.42			4.28			4.14
Period end loans serviced for others	$	18,624		$	19,226		$	19,956		$	20,689		$	20,298

Page 8

CAPITAL ONE FINANCIAL CORPORATION (COF)

Table 9: Financial & Statistical Summary—Commercial Banking Business


(Dollars in millions) (unaudited)	2011 Q3			2011 Q2			2011 Q1			2010 Q4			2010 Q3
Commercial Banking
Earnings:
Net interest income	$	353		$	333		$	321		$	336		$	325
Non-interest income		62			62			71			49			30

Total revenue	$	415		$	395		$	392		$	385		$	355
Provision for loan and lease losses		(10	)		(18	)		(15	)		34			95
Non-interest expense		200			192			177			207			199

Income from continuing operations before taxes		225			221			230			144			61
Income tax provision		80			79			82			51			22

Income from continuing operations, net of tax	$	145		$	142		$	148		$	93		$	39


Selected metrics:
Period end loans held for investment	$	32,105		$	31,203		$	30,017		$	29,742		$	29,542
Average loans held for investment		31,345			30,316			29,793			29,617			29,435
Average yield on loans held for investment		4.69	%		4.74	%		4.80	%		5.13	%		5.13	%
Period end deposits	$	25,282		$	24,304		$	24,244		$	22,630		$	22,100
Average deposits		25,227			24,282			24,138			22,808			21,899
Deposit interest expense rate		0.48	%		0.52	%		0.55	%		0.61	%		0.67	%
Core deposit intangible amortization	$	10		$	10		$	11		$	13		$	14
Net charge-off rate⁽⁶⁾		0.37	%		0.50	%		0.79	%		1.43	%		1.27	%
Nonperforming loans as a percentage of loans held for investment⁽⁶⁾		1.43			1.54			1.84			1.66			1.81
Nonperforming asset rate⁽⁶⁾		1.55			1.66			1.95			1.80			1.94

Risk category:⁽¹¹⁾
Noncriticized	$	29,374		$	28,459		$	27,008		$	26,663		$	26,011
Criticized performing		1,781			1,765			1,924			2,025			2,277
Criticized nonperforming		459			481			553			494			534

Total non-PCI loans		31,614			30,705			29,485			29,182			28,822
Total PCI loans		491			498			532			560			720

Total	$	32,105		$	31,203		$	30,017		$	29,742		$	29,542

% of period end held for investment commercial loans:
Noncriticized		91.49	%		91.21	%		89.98	%		89.65	%		88.05	%
Criticized performing		5.55			5.66			6.41			6.81			7.71
Criticized nonperforming		1.43			1.54			1.84			1.66			1.81

Total non-PCI loans		98.47			98.40			98.23			98.12			97.56
Total PCI loans		1.53			1.60			1.77			1.88			2.44

Total		100.00	%		100.00	%		100.00	%		100.00	%		100.00	%

Page 9

CAPITAL ONE FINANCIAL CORPORATION (COF)

Table 10: Financial & Statistical Summary—Other and Total


(Dollars in millions) (unaudited)	2011 Q3		2011 Q2		2011 Q1		2010 Q4		2010 Q3
Other
Earnings:
Net interest expense	$	(209)	$	(138)	$	(105)	$	(133)	$	(93)
Non-interest income (expense)		(57)		(18)		11		22		7

Total revenue	$	(266)	$	(156)	$	(94)	$	(111)	$	(86)
Provision for loan and lease losses		(15)		11		4		27		(2)
Non-interest expense		56		67		67		58		62

Loss from continuing operations before taxes		(307)		(234)		(165)		(196)		(146)
Income tax benefit		(174)		(132)		(191)		(98)		(119)

Income (loss) from continuing operations, net of tax	$	(133)	$	(102)	$	26	$	(98)	$	(27)


Selected metrics:
Period end loans held for investment⁽⁴⁾	$	465	$	465	$	464	$	451	$	469
Average loans held for investment⁽⁴⁾		465		468		462		465		475
Period end deposits		14,447		14,531		14,847		16,621		17,606
Average deposits		14,775		14,626		16,136		17,094		18,132
Total
Earnings:
Net interest income	$	3,283	$	3,136	$	3,140	$	3,023	$	3,112
Non-interest income		871		857		942		939		904

Total revenue	$	4,154	$	3,993	$	4,082	$	3,962	$	4,016
Provision for loan and lease losses		622		343		534		839		867
Non-interest expense		2,297		2,255		2,162		2,091		1,996

Income from continuing operations before taxes		1,235		1,395		1,386		1,032		1,153
Income tax provision		370		450		354		331		335

Income from continuing operations, net of tax	$	865	$	945	$	1,032	$	701	$	818


Selected metrics:
Period-end loans held for investment	$	129,952	$	128,965	$	124,092	$	125,947	$	126,334
Average loans held for investment		129,043		127,916		125,077		125,441		126,391
Period end deposits		128,318		126,117		125,446		122,210		119,212
Average deposits		128,268		125,834		124,158		121,736		118,255

Page 10

CAPITAL ONE FINANCIAL CORPORATION (COF)

Table 11: Notes to Loan and Segment Disclosures (Tables 6 — 10)

(1)	Certain prior period amounts have been reclassified to conform to the current period presentation.

(2)	Amounts for Q3 2011 and Q2 2011 reflect the impact of the April 1, 2011 acquisition of the existing private-label credit card loan portfolio of Kohl’s, which had an outstanding principal and interest balance of approximately $3.7 billion at acquisition.

(3)	Other loans held for investment includes unamortized premiums and discounts on loans acquired as part of the North Fork and Hibernia acquisitions.

(4)	In accordance with our loss-sharing agreement with Kohl’s, charge-offs for the portfolio are reported net of any reimbursement of credit losses from Kohl’s, which has the impact of lowering the overall Domestic Card charge-off rate.

(5)	The third quarter 2011 annualized net charge-off rate for Auto reflects the impact of a true-up of recoveries for certain bankruptcy-related Auto loans that were previously charged-off, which resulted in a decrease in the annualized net charge off rate of 19 basis points in the Q3 2011.

(6)	PCI loans acquired as part of the CCB acquisition are included in the denominator used in calculating the credit quality ratios presented in Tables 6-10. These metrics excluding the impact of loans acquired from CCB from the denominator are presented below:


(Dollars in millions) (unaudited)	2011 Q3			2011 Q2			2011 Q1			2010 Q4			2010 Q3
CCB period end acquired loan portfolio	$	4,873		$	5,181		$	5,351		$	5,532		$	5,891
CCB average acquired loan portfolio		4,998			5,112			5,305			5,633			6,014
Net charge-off rates
Consumer banking:
Home loan		0.87	%		0.98	%		1.16	%		1.46	%		0.68	%
Retail banking		1.69			1.76			2.32			2.49			2.29

Total consumer banking		1.51	%		1.17	%		1.82	%		2.32	%		2.11	%

Commercial banking:
Commercial and multifamily real estate		0.12	%		0.40	%		0.57	%		1.17	%		1.81	%
Middle market		0.42			0.13			0.18			0.97			0.44

Total commercial lending		0.28	%		0.31	%		0.38	%		1.02	%		1.14	%

Total commercial banking		0.38	%		0.51	%		0.80	%		1.45	%		1.30	%

30+ day performing delinquency rates
Consumer banking:
Home loan		1.28	%		1.18	%		1.02	%		1.06	%		1.16	%
Retail banking		0.90			0.77			0.93			0.97			1.12

Total consumer banking		4.57	%		4.29	%		3.98	%		5.01	%		4.88	%

Nonperforming asset rates
Consumer banking:
Home loan		7.80	%		7.38	%		7.24	%		7.05	%		6.83	%
Retail banking		2.40			2.48			2.44			2.77			2.51

Total consumer banking		2.33	%		2.32	%		2.32	%		2.54	%		2.49	%

Commercial banking:
Commercial and multifamily real estate		2.18	%		2.39	%		2.68	%		2.28	%		2.47	%
Middle market		1.07			1.22			1.17			1.36			1.42

Total commercial lending		1.57	%		1.73	%		1.90	%		1.79	%		1.98	%

Total commercial banking		1.57	%		1.68	%		1.99	%		1.83	%		1.98	%

Nonperforming loans as a percentage of loans held for investment
Consumer banking		2.15	%		2.12	%		2.14	%		2.30	%		2.26	%
Commercial banking		1.45			1.56			1.88			1.69			1.84

(7)

Nonperforming assets consist of nonperforming loans, real estate owned (“REO”) and foreclosed assets. The nonperforming asset ratios are calculated based on nonperforming assets for each segment divided by the combined total of loans held for investment, REO and foreclosed assets for each respective segment.

(8)

As permitted by regulatory guidance, our policy is generally to exempt delinquent credit card loans from being classified as nonperforming. We continue to accrue finance charges and fees on credit card loans until the loan is charged off, typically when the account becomes 180 days past due. Billed finance charges and fees considered uncollectible are not recognized in income.

(9)

The September 30, 2011 30+ day delinquency rate for Domestic Card reflects the impact of a change in the way we estimate recoveries in determining the uncollectible amount of finance charges and fees, which resulted in an increase of 11 basis points as of September 30, 2011. For International Card, the change did not have a significant impact on the 30+ day delinquency rate as of September 30, 2011.

(10)	Includes credit card purchase transactions net of returns. Excludes cash advance transactions.

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

Page 11

CAPITAL ONE FINANCIAL CORPORATION (COF)

Table 12: Reconciliation of Non-GAAP Measures and Calculation of Regulatory Capital Measures

In addition to disclosing required regulatory capital measures, we also report certain non-GAAP capital measures that management uses in assessing its capital adequacy. These non-GAAP measures include average tangible common equity, tangible common equity (TCE), TCE ratio, Tier 1 common equity and Tier 1 common equity ratio. The table below provides the details of the calculation of each of these measures. While these non-GAAP capital 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.


(Dollars in millions)(unaudited)	2011 Q3			2011 Q2			2011 Q1			2010 Q4			2010 Q3
Average Equity to Non-GAAP Average Tangible Common Equity
Average total stockholders’ equity	$	29,316		$	28,255		$	27,009		$	26,255		$	25,307
Less: Average intangible assets ⁽¹⁾		(13,990	)		(14,025	)		(14,001	)		(14,008	)		(14,003	)

Average tangible common equity	$	15,326		$	14,230		$	13,008		$	12,247		$	11,304

Stockholders’ Equity to Non-GAAP Tangible Common Equity
Total stockholders’ equity	$	29,378		$	28,681		$	27,550		$	26,541		$	26,061
Less: Intangible assets ⁽¹⁾		(13,953	)		(14,006	)		(14,030	)		(13,983	)		(14,024	)

Tangible common equity	$	15,425		$	14,675		$	13,520		$	12,558		$	12,037

Total Assets to Tangible Assets
Total assets	$	200,148		$	199,753		$	199,300		$	197,503		$	196,933
Less: Assets from discontinued operations		(304	)		(32	)		(342	)		(362	)		(5	)

Total assets from continuing operations		199,844			199,721			198,958			197,141			196,928
Less: Intangible assets ⁽¹⁾		(13,953	)		(14,006	)		(14,030	)		(13,983	)		(14,024	)

Tangible assets	$	185,891		$	185,715		$	184,928		$	183,158		$	182,904

Non-GAAP TCE Ratio
Tangible common equity	$	15,425		$	14,675		$	13,520		$	12,558		$	12,037
Tangible assets		185,891			185,715			184,928			183,158			182,904

TCE ratio⁽²⁾		8.3	%		7.9	%		7.3	%		6.9	%		6.6	%

Non-GAAP Tier 1 Common Equity and Regulatory Capital Ratios
Total stockholders’ equity	$	29,378		$	28,681		$	27,550		$	26,541		$	26,061
Less: Net unrealized (gains) losses on AFS securities recorded in AOCI ⁽³⁾		(401	)		(482	)		(314	)		(368	)		(580	)
Net (gains) losses on cash flow hedges recorded in AOCI⁽³⁾		54			71			95			86			79
Disallowed goodwill and other intangible assets		(13,899	)		(13,954	)		(13,993	)		(13,953	)		(13,993	)
Disallowed deferred tax assets		(227	)		(647	)		(1,377	)		(1,150	)		(1,324	)
Other		(2	)		(2	)		(2	)		(2	)		(2	)

Tier 1 common equity	$	14,903		$	13,667		$	11,959		$	11,154		$	10,241
Plus: Tier 1 restricted core capital items⁽⁴⁾		3,636			3,636			3,636			3,636			3,636

Tier 1 capital	$	18,539		$	17,303		$	15,595		$	14,790		$	13,877

Plus: Long-term debt qualifying as Tier 2 capital		2,438			2,727			2,827			2,827			2,827
Qualifying allowance for loan and lease losses		1,897			1,864			1,825			3,748			3,726
Other Tier 2 components		24			28			20			29			24

Tier 2 capital	$	4,359		$	4,619		$	4,672		$	6,604		$	6,577

Total risk-based capital⁽⁵⁾	$	22,898		$	21,922		$	20,267		$	21,394		$	20,454

Risk-weighted assets⁽⁶⁾	$	149,050		$	146,201		$	142,495		$	127,043		$	124,726

Tier 1 common equity ratio ⁽⁷⁾		10.0	%⁽¹⁰⁾		9.4	%		8.4	%		8.8	%		8.2	%
Tier 1 risk-based capital ratio ⁽⁸⁾		12.4	⁽¹⁰⁾		11.8			10.9			11.6			11.1
Total risk-based capital ratio ⁽⁹⁾		15.4	⁽¹⁰⁾		15.0			14.2			16.8			16.4

(1)	Includes impact from related deferred taxes.

(2)	Calculated based on tangible common equity divided by tangible assets.

(3)	Amounts presented are net of tax.

(4)	Consists primarily of trust preferred securities.

(5)	Total risk-based capital equals the sum of Tier 1 capital and Tier 2 capital.

(6)	Calculated based on prescribed regulatory guidelines.

(7)	Tier 1 common equity ratio is a non-GAAP measure calculated based on Tier 1 common equity divided by risk-weighted assets.

(8)	Tier 1 risk-based capital ratio is a regulatory capital measure calculated based on Tier 1 capital divided by risk-weighed assets.

(9)	Total risk-based capital ratio is a regulatory capital measure calculated based on total risk-based capital divided by risk-weighed assets.

(10)	Capital ratios as of the end of Q3 2011 are preliminary and therefore subject to change once the calculations have been finalized.

Page 12

CAPITAL ONE FINANCIAL CORP - FORM 8-K - EX-99.2 - EXHIBIT 99.2 - October 20, 2011

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