10-Q

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

____________________________________

FORM 10-Q

____________________________________

☒ QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended June 30, 2021

OR

☐ TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the transition period from              to             

Commission File No. 001-13300

____________________________________

CAPITAL ONE FINANCIAL CORPORATION

(Exact name of registrant as specified in its charter) 

____________________________________

Delaware		54-1719854
(State or other jurisdiction of incorporation or organization)		(I.R.S. Employer Identification No.)
1680 Capital One Drive,
McLean,	Virginia	22102
(Address of principal executive offices)		(Zip Code)

Registrant’s telephone number, including area code: (703) 720-1000

(Not Applicable)

(Former name, former address and former fiscal year, if changed since last report)

____________________________________

Securities registered pursuant to Section 12(b) of the Act:

Title of Each Class	Trading Symbol(s)	Name of Each Exchange on Which Registered
Common Stock (par value $.01 per share)	COF	New York Stock Exchange
Depositary Shares, Each Representing a 1/40th Interest in a Share of Fixed Rate Non-Cumulative Perpetual Preferred Stock, Series G	COF PRG	New York Stock Exchange
Depositary Shares, Each Representing a 1/40th Interest in a Share of Fixed Rate Non-Cumulative Perpetual Preferred Stock, Series H	COF PRH	New York Stock Exchange
Depositary Shares, Each Representing a 1/40th Interest in a Share of Fixed Rate Non-Cumulative Perpetual Preferred Stock, Series I	COF PRI	New York Stock Exchange
Depositary Shares, Each Representing a 1/40th Interest in a Share of Fixed Rate Non-Cumulative Perpetual Preferred Stock, Series J	COF PRJ	New York Stock Exchange
Depositary Shares, Each Representing a 1/40th Interest in a Share of Fixed Rate Non-Cumulative Perpetual Preferred Stock, Series K	COF PRK	New York Stock Exchange
Depositary Shares, Each Representing a 1/40th Interest in a Share of Fixed Rate Non-Cumulative Perpetual Preferred Stock, Series L	COF PRL	New York Stock Exchange
Depositary Shares, Each Representing a 1/40th Interest in a Share of Fixed Rate Non-Cumulative Perpetual Preferred Stock, Series N	COF PRN	New York Stock Exchange
0.800% Senior Notes Due 2024	COF24	New York Stock Exchange
1.650% Senior Notes Due 2029	COF29	New York Stock Exchange

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes ☒  No ☐

Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files). Yes ☒ No ☐

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company, or an emerging growth company. See the definitions of “large accelerated filer,” “accelerated filer,” “smaller reporting company,” and “emerging growth company” in Rule 12b-2 of the Exchange Act.

Large accelerated filer	☒	Accelerated filer	☐
Non-accelerated filer	☐	Smaller reporting company	☐
		Emerging growth company	☐

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ☐

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes ☐ No ☒

As of June 30, 2021, there were 446,113,769 shares of the registrant’s Common Stock outstanding.

TABLE OF CONTENTS

		Page
PART I—FINANCIAL INFORMATION		4
Item 1.	Financial Statements and Notes	67
	Consolidated Statements of Income	68
	Consolidated Statements of Comprehensive Income	69
	Consolidated Balance Sheets	70
	Consolidated Statements of Changes in Stockholders’ Equity	71
	Consolidated Statements of Cash Flows	73
	Notes to Consolidated Financial Statements	75
	Note 1—Summary of Significant Accounting Policies	75
	Note 2—Investment Securities	77
	Note 3—Loans	80
	Note 4—Allowance for Credit Losses and Reserve for Unfunded Lending Commitments	90
	Note 5—Variable Interest Entities and Securitizations	94
	Note 6—Goodwill and Intangible Assets	98
	Note 7—Deposits and Borrowings	99
	Note 8—Derivative Instruments and Hedging Activities	100
	Note 9—Stockholders’ Equity	110
	Note 10—Earnings Per Common Share	114
	Note 11—Fair Value Measurement	115
	Note 12—Business Segments and Revenue from Contracts with Customers	122
	Note 13—Commitments, Contingencies, Guarantees and Others	126
Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations (“MD&A”)	4
	Introduction	4
	Selected Financial Data	6
	Executive Summary and Business Outlook	9
	Consolidated Results of Operations	11
	Consolidated Balance Sheets Analysis	17
	Off-Balance Sheet Arrangements	19
	Business Segment Financial Performance	19
	Critical Accounting Policies and Estimates	29
	Accounting Changes and Developments	30
	Capital Management	30
	Risk Management	36
	Credit Risk Profile	37
	Liquidity Risk Profile	50
	Market Risk Profile	53
	Supervision and Regulation	57
	Forward-Looking Statements	58
	Supplemental Table	60
	Glossary and Acronyms	61

1 Capital One Financial Corporation (COF)

Item 3.	Quantitative and Qualitative Disclosures about Market Risk	129
Item 4.	Controls and Procedures	129
PART II—OTHER INFORMATION		130
Item 1.	Legal Proceedings	130
Item 1A.	Risk Factors	130
Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds	130
Item 3.	Defaults Upon Senior Securities	130
Item 4.	Mine Safety Disclosures	130
Item 5.	Other Information	130
Item 6.	Exhibits	130
EXHIBIT INDEX		131
SIGNATURES		132

2 Capital One Financial Corporation (COF)

INDEX OF MD&A AND SUPPLEMENTAL TABLE

MD&A Tables:		Page
1	Consolidated Financial Highlights	6
2	Average Balances, Net Interest Income and Net Interest Margin	11
3	Rate/Volume Analysis of Net Interest Income	14
4	Non-Interest Income	15
5	Non-Interest Expense	16
6	Investment Securities	17
7	Loans Held for Investment	18
8	Funding Sources Composition	18
9	Business Segment Results	20
10	Credit Card Business Results	21
10.1	Domestic Card Business Results	23
11	Consumer Banking Business Results	25
12	Commercial Banking Business Results	26
13	Other Category Results	28
14	Capital Ratios Under Basel III	32
15	Regulatory Risk-Based Capital Components and Regulatory Capital Metrics	33
16	Preferred Stock Dividends Paid Per Share	35
17	Portfolio Composition of Loans Held for Investment	38
18	Credit Card Portfolio by Geographic Region	39
19	Consumer Banking Portfolio by Geographic Region	40
20	Commercial and Multifamily Real Estate Portfolio by Region	41
21	Commercial Loans by Industry	41
22	Credit Score Distribution	42
23	30+ Day Delinquencies	42
24	Aging and Geography of 30+ Day Delinquent Loans	43
25	90+ Day Delinquent Loans Accruing Interest	44
26	Nonperforming Loans and Other Nonperforming Assets	44
27	Net Charge-Offs	45
28	Troubled Debt Restructurings	46
29	Allowance for Credit Losses and Reserve for Unfunded Lending Commitments Activity	47
30	Allowance Coverage Ratios for Specified Loan Category	49
31	Liquidity Reserves	50
32	Deposits Composition and Average Deposits Interest Rates	51
33	Long-Term Funding	52
34	Senior Unsecured Long-Term Debt Credit Ratings	53
35	Interest Rate Sensitivity Analysis	54
Supplemental Table:
A	Reconciliation of Non-GAAP Measures	60

3 Capital One Financial Corporation (COF)

PART I—FINANCIAL INFORMATION

Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations (“MD&A”)

This discussion contains forward-looking statements that are based upon management’s current expectations and are subject to significant uncertainties and changes in circumstances. Please review “MD&A—Forward-Looking Statements” for more information on the forward-looking statements in this Quarterly Report on Form 10-Q (“this Report”). All statements that address operating performance, events or developments that we expect or anticipate will occur in the future, including those relating to operating results and “Note 13—Commitments, Contingencies, Guarantees and Others” as well as the potential impacts of the COVID-19 pandemic described in “MD&A—Introduction—Coronavirus Disease 2019 (COVID-19) Pandemic” are forward-looking statements. Our actual results may differ materially from those included in these forward-looking statements due to a variety of factors including, but not limited to, those described in “Part I—Item 1A. Risk Factors” in our 2020 Annual Report on Form 10-K (“2020 Form 10-K”) and “Part II—Item 1A. Risk Factors” in this Report. Unless otherwise specified, references to notes to our consolidated financial statements refer to the notes to our consolidated financial statements as of June 30, 2021 included in this Report.

Management monitors a variety of key indicators to evaluate our business results and financial condition. The following MD&A is provided as a supplement to, and should be read in conjunction with, our consolidated financial statements and related notes in this Report and the more detailed information contained in our 2020 Form 10-K.

INTRODUCTION

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”) offer a broad array of financial products and services to consumers, small businesses and commercial clients through digital channels, branches, Cafés and other distribution channels.

As of June 30, 2021, our principal subsidiaries included:

•Capital One Bank (USA), National Association (“COBNA”), which offers credit and debit card products, other lending products and deposit products; and

•Capital One, National Association (“CONA”), which offers a broad spectrum of banking products and financial services to consumers, small businesses and commercial clients.

The Company is hereafter collectively referred to as “we,” “us” or “our.” COBNA and CONA are collectively referred to as the “Banks.” Certain business terms used in this document are defined in the “MD&A—Glossary and Acronyms” and should be read in conjunction with the consolidated financial statements included in this Report.

Our consolidated total net revenues are derived primarily from lending to consumer, small business and commercial customers net of funding costs associated with interest on deposits, long-term debt and other borrowings. We also earn non-interest income which primarily consists of interchange income, net of reward expenses, service charges and other customer-related fees. Our expenses primarily consist of the provision for credit losses, operating expenses, marketing expenses and income taxes.

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. 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 segment, such as management of our corporate investment portfolio, asset/liability management by our centralized Corporate Treasury group and residual tax expense or benefit to arrive at the consolidated effective tax rate that is not assessed to our primary business segments, are included in the Other category.

•Credit Card: Consists of our domestic consumer and small business card lending, and international card businesses in Canada and the United Kingdom (“U.K.”).

4 Capital One Financial Corporation (COF)

•Consumer Banking: Consists of our deposit gathering and lending activities for consumers and small businesses, and national auto lending.

•Commercial Banking: Consists of our lending, deposit gathering, capital markets and treasury management services to commercial real estate and commercial and industrial customers. Our commercial and industrial customers typically include companies with annual revenues between $20 million and $2 billion.

Business Developments

We regularly explore and evaluate opportunities to acquire financial services and products as well as financial assets, including credit card and other loan portfolios, and enter into strategic partnerships as part of our growth strategy. We also explore opportunities to acquire technology companies and related assets to improve our information technology infrastructure and to deliver on our digital strategy. We may issue equity or debt to fund our acquisitions. In addition, we regularly consider the potential disposition of certain assets, branches, partnership agreements or lines of business.

Coronavirus Disease 2019 (COVID-19) Pandemic

The COVID-19 pandemic resulted in a global public-health crisis, disrupting economies and introducing significant volatility into financial markets. We transformed how we work in order to protect the well-being of our associates and our customers, and were able to continue to serve our customers, successfully manage critical functions, and keep our lines of business operating.

Since the start of the COVID-19 pandemic, a significant majority of our associates across our workforce have transitioned to working remotely, relying on our technology infrastructure and systems that have been designed for resilience and security. The majority of our associates will continue to work remotely through the summer of 2021. Our current plan is to adopt a hybrid work methodology on September 7, 2021 that allows for in-office collaboration while still enabling associates to work remotely. We continue to monitor local conditions to ensure the safety of our associates.

For more information see “Part I—Item 1. Business—Overview—Coronavirus Disease 2019 (COVID-19) Pandemic” and “Part I—Item 1A. Risk Factors” in our 2020 Form 10-K along with “Part I—Item 2. MD&A—Introduction—Coronavirus Disease 2019 (COVID-19) Pandemic” and “Part I—Item 2. MD&A—Credit Risk Profile—COVID-19 Customer Assistance Programs and Loan Modifications” in our Quarterly Report on Form 10-Q for the period ended March 31, 2021.

5 Capital One Financial Corporation (COF)

SELECTED FINANCIAL DATA

The following table presents selected consolidated financial data and performance from our results of operations for the second quarter and first six months of 2021 and 2020 and selected comparative balance sheet data as of June 30, 2021 and December 31, 2020. We also provide selected key metrics we use in evaluating our performance, including certain metrics that are computed using non-GAAP measures. We consider these metrics to be key financial measures that management uses in assessing our operating performance, capital adequacy and the level of returns generated. We believe these non-GAAP metrics provide useful insight to investors and users of our financial information as they provide an alternate measurement of our performance and assist in assessing our capital adequacy and the level of return generated.

Table 1: Consolidated Financial Highlights

	Three Months Ended June 30,						Six Months Ended June 30,
(Dollars in millions, except per share data and as noted)	2021		2020		Change		2021		2020		Change
Income statement
Net interest income	$	5,743	$	5,460	5	%	11,565		$	11,485	1	%
Non-interest income	1,631		1,096		49		2,922		2,320		26
Total net revenue	7,374		6,556		12		14,487		13,805		5
Provision (benefit) for credit losses	(1,160)		4,246		**		(1,983)		9,669		**
Non-interest expense:
Marketing	620		273		127		1,121		764		47
Operating expense	3,346		3,497		(4)		6,585		6,735		(2)
Total non-interest expense	3,966		3,770		5		7,706		7,499		3
Income (loss) from continuing operations before income taxes	4,568		(1,460)		**		8,764		(3,363)		**
Income tax provision (benefit)	1,031		(543)		**		1,900		(1,106)		**
Income (loss) from continuing operations, net of tax	3,537		(917)		**		6,864		(2,257)		**
Loss from discontinued operations, net of tax	(1)		(1)		—		(3)		(1)		**
Net income (loss)	3,536		(918)		**		6,861		(2,258)		**
Dividends and undistributed earnings allocated to participating securities	(30)		(1)		**		(58)		(4)		**
Preferred stock dividends	(60)		(90)		(33)		(121)		(145)		(17)
Issuance cost for redeemed preferred stock	—		—		—		—		(22)		**
Net income (loss) available to common stockholders	$	3,446	$	(1,009)	**		$	6,682	$	(2,429)	**
Common share statistics
Basic earnings per common share:
Net income (loss) from continuing operations	$	7.65	$	(2.21)	**		$	14.70	$	(5.31)	**
Net income (loss) per basic common share	$	7.65	$	(2.21)	**		$	14.70	$	(5.31)	**
Diluted earnings per common share:
Net income (loss) from continuing operations	$	7.62	$	(2.21)	**		$	14.65	$	(5.31)	**
Net income (loss) per diluted common share	$	7.62	$	(2.21)	**		$	14.65	$	(5.31)	**
Weighted-average common shares outstanding (in millions):
Basic	450.6		456.7		(1)	%	454.6		457.1		(1)	%
Diluted	452.3		456.7		(1)		456.2		457.1		—
Common shares outstanding (period-end, in millions)	446.1		456.3		(2)		446.1		456.3		(2)
Dividends declared and paid per common share	$	0.40	$	0.40	—		$	0.80	$	0.80	—
Tangible book value per common share (period-end)(1)	97.20		78.82		23		97.20		78.82		23
Balance sheet (average balances)
Loans held for investment	$	246,463	$	253,358	(3)	%	$	245,207	$	258,124	(5)	%
Interest-earning assets	390,129		378,145		3		389,355		366,746		6
Total assets	424,099		411,075		3		422,959		400,845		6
Interest-bearing deposits	273,476		261,256		5		273,417		251,185		9

6 Capital One Financial Corporation (COF)

	Three Months Ended June 30,								Six Months Ended June 30,
(Dollars in millions, except per share data and as noted)	2021			2020			Change		2021			2020			Change
Total deposits	308,217			288,344			7		306,645			276,498			11
Borrowings	37,054			49,827			(26)		38,475			50,810			(24)
Common equity	56,885			52,413			9		56,333			52,799			7
Total stockholders’ equity	62,376			57,623			8		61,504			58,096			6
Selected performance metrics
Purchase volume	$	132,676		$	90,149		47	%	$	241,009		$	190,069		27	%
Total net revenue margin(2)	7.56		%	6.93		%	63	bps	7.44		%	7.53		%	(9)	bps
Net interest margin	5.89			5.78			11		5.94			6.26			(32)
Return on average assets(3)	3.34			(0.89)			4	%	3.25			(1.13)			4	%
Return on average tangible assets(4)	3.46			(0.93)			4		3.36			(1.17)			5
Return on average common equity(5)	24.24			(7.69)			32		23.73			(9.20)			33
Return on average tangible common equity(6)	32.75			(10.74)			43		32.19			(12.81)			45
Equity-to-assets ratio(7)	14.71			14.02			69	bps	14.54			14.49			5	bps
Non-interest expense as a percentage of average loans held for investment	6.44			5.95			49		6.29			5.81			48
Efficiency ratio(8)	53.78			57.50			(4)	%	53.19			54.32			(113)
Operating efficiency ratio(9)	45.38			53.34			(8)		45.45			48.79			(334)
Effective income tax rate from continuing operations	22.6			37.2			(15)		21.7			32.9			(11)	%
Net charge-offs	$	541		$	1,505		(64)		$	1,281		$	3,296		(61)
Net charge-off rate	0.88		%	2.38		%	(150)	bps	1.04		%	2.55		%	(151)	bps

(Dollars in millions, except as noted)	June 30, 2021			December 31, 2020			Change
Balance sheet (period-end)
Loans held for investment	$	249,597		$	251,624		(1)	%
Interest-earning assets	387,295			388,917			—
Total assets	423,420			421,602			—
Interest-bearing deposits	271,314			274,300			(1)
Total deposits	306,308			305,442			—
Borrowings	36,343			40,539			(10)
Common equity	58,136			55,356			5
Total stockholders’ equity	64,624			60,204			7
Credit quality metrics
Allowance for credit losses	$	12,346		$	15,564		(21)	%
Allowance as a percentage of loans held for investment (“allowance coverage ratio”)	4.95		%	6.19		%	(124)	bps
30+ day performing delinquency rate	1.75			2.41			(66)
30+ day delinquency rate	1.89			2.61			(72)
Capital ratios
Common equity Tier 1 capital(10)	14.5		%	13.7		%	80	bps
Tier 1 capital(10)	16.6			15.3			130
Total capital(10)	18.8			17.7			110
Tier 1 leverage(10)	12.4			11.2			120
Tangible common equity(11)	10.6			10.0			60
Supplementary leverage(10)(12)	10.7			10.7			—
Other
Employees (period end, in thousands)	52.0			52.0			—

__________

(1)Tangible book value per common share is a non-GAAP measure calculated based on tangible common equity divided by common shares outstanding. See “MD&A—Table A —Reconciliation of Non-GAAP Measures” for additional information on non-GAAP measures.

(2)Total net revenue margin is calculated based on annualized total net revenue for the period divided by average interest-earning assets for the period.

(3)Return on average assets is calculated based on annualized income from continuing operations, net of tax, for the period divided by average total assets for the period.

7 Capital One Financial Corporation (COF)

(4)Return on average tangible assets is a non-GAAP measure calculated based on annualized income from continuing operations, net of tax, for the period divided by average tangible assets for the period. See “MD&A—Table A—Reconciliation of Non-GAAP Measures” for additional information on non-GAAP measures.

(5)Return on average common equity is 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 common equity. Our calculation of return on average common equity may not be comparable to similarly-titled measures reported by other companies.

(6)Return on average tangible common equity (“TCE”) 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 tangible common equity. Our calculation of return on average TCE may not be comparable to similarly-titled measures reported by other companies. See “MD&A—Table A—Reconciliation of Non-GAAP Measures” for additional information on non-GAAP measures.

(7)Equity-to-assets ratio is calculated based on average stockholders’ equity for the period divided by average total assets for the period.

(8)Efficiency ratio is calculated based on total non-interest expense for the period divided by total net revenue for the period.

(9)Operating efficiency ratio is calculated based on operating expense for the period divided by total net revenue for the period.

(10)Capital ratios are calculated based on the Basel III Standardized Approach framework, see “MD&A—Capital Management” for additional information.

(11)Tangible common equity ratio is a non-GAAP measure calculated based on TCE divided by tangible assets. See “MD&A—Table A—Reconciliation of Non-GAAP Measures” for the calculation of this measure and reconciliation to the comparative U.S. GAAP measure.

(12)The Company’s supplementary leverage ratio as of December 31, 2020 reflected the temporary exclusions of U.S Treasury securities and deposits at Federal Reserve Banks from the denominator of the supplementary leverage ratio. See “Part I—Item 1. Business—Supervision and Regulation—Capital and Liquidity Regulation” in our 2020 Form 10-K for additional details.

**    Not meaningful.

8 Capital One Financial Corporation (COF)

EXECUTIVE SUMMARY AND BUSINESS OUTLOOK

Financial Highlights

We reported net income of $3.5 billion ($7.62 per diluted common share) on total revenue of $7.4 billion and net income of $6.9 billion ($14.65 per diluted common share) on total net revenue of $14.5 billion for the second quarter and first six months of 2021. In comparison, we reported net loss of $918 million ($2.21 per diluted common share) on total net revenue of $6.6 billion and net loss of $2.3 billion ($5.31 per diluted common share) on total net revenue of $13.8 billion for the second quarter and first six months of 2020.

Our common equity Tier 1 capital ratio as calculated under the Basel III Standardized Approach was 14.5% and 13.7% as of June 30, 2021 and December 31, 2020, respectively. See “MD&A—Capital Management” for additional information.

On January 25, 2021, our Board of Directors authorized the repurchase of up to $7.5 billion of shares of our common stock. We repurchased approximately $1.7 billion of shares of our common stock during the second quarter of 2021 and $2.2 billion during the first six months of 2021, consistent with the Federal Reserve’s temporary capital distribution restrictions in place during the first six months of 2021. See “MD&A—Capital Management—Dividend Policy and Stock Purchases” for additional information.

Below are additional highlights of our performance in the second quarter and first six months of 2021. These highlights are based on a comparison between the results of the second quarter and first six months of 2021 and 2020, except as otherwise noted. The changes in our financial condition and credit performance are generally based on our financial condition and credit performance as of June 30, 2021 compared to December 31, 2020. We provide a more detailed discussion of our financial performance in the sections following this “Executive Summary and Business Outlook.”

Total Company Performance

•Earnings: Our net income increased by $4.5 billion to $3.5 billion in the second quarter of 2021 compared to the second quarter of 2020 and increased by $9.1 billion to $6.9 billion in the first six months of 2021 compared to the first six months of 2020 primarily driven by:

◦lower provision resulting from allowance releases in the first and second quarters of 2021 due to continued strong credit performance and an improved economic outlook compared to allowance builds in the first and second quarters of 2020 driven by expectations of economic worsening at the start of the COVID-19 pandemic;

◦higher non-interest income from interchange fees due to an increase in purchase volume in Domestic Card; and

◦higher net interest income due to lower interest rates paid on interest-bearing deposits and higher average outstanding balances in our auto loan portfolio, partially offset by lower average outstanding balances in our domestic card loan portfolio.

•Loans Held for Investment:

◦Period-end loans held for investment decreased by $2.0 billion to $249.6 billion as of June 30, 2021 from December 31, 2020 primarily due to higher customer payments and the transfer of $4.1 billion in loans to held for sale, partially offset by growth in our auto loan portfolio.

◦Average loans held for investment decreased by $6.9 billion to $246.5 billion in the second quarter of 2021 compared to the second quarter of 2020 and decreased by $12.9 billion to $245.2 billion in the first six months of 2021 compared to the first six months of 2020 primarily driven by lower outstanding balances in Domestic Card due to higher customer payments, partially offset by higher purchase volume and growth in our auto loan portfolio.

•Net Charge-Off and Delinquency Metrics: Our net charge-off rate decreased by 150 basis points to 0.88% in the second quarter of 2021 compared to the second quarter of 2020 and decreased by 151 basis points to 1.04% in the first six months of 2021 compared to the first six months of 2020, primarily driven by strong credit performance in our domestic card and auto loan portfolios.

9 Capital One Financial Corporation (COF)

Our 30+ day delinquency rate decreased by 72 basis points to 1.89% as of June 30, 2021 from December 31, 2020 due to seasonally lower delinquency inventories and strong credit performance in our auto and domestic card loan portfolios.

•Allowance for Credit Losses: Our allowance for credit losses decreased by $3.2 billion to $12.3 billion, and our allowance coverage ratio decreased by 124 basis points to 4.95% as of June 30, 2021 from December 31, 2020, driven by strong credit performance and an improved economic outlook.

Business Outlook

We discuss in this Report our expectations as of the time this Report was filed regarding our total company performance and the performance of our business segments based on market conditions, the regulatory environment and our business strategies. The statements contained in this Report are based on our current expectations regarding our outlook for our financial results and business strategies. Our expectations take into account, and should be read in conjunction with, our expectations regarding economic trends and analysis of our business as discussed in “Part I—Item 1. Business” and “Part II—Item 7. MD&A” in our 2020 Form 10-K. Certain statements are forward-looking statements within the meaning of the Private Securities Litigation Reform Act of 1995. Actual results could differ materially from those in our forward-looking statements. Except as otherwise disclosed, forward-looking statements do not reflect:

•any change in current dividend or repurchase strategies;

•the effect of any acquisitions, divestitures or similar transactions that have not been previously disclosed; or

•any changes in laws, regulations or regulatory interpretations, in each case after the date as of which such statements are made.

The extent to which the COVID-19 pandemic ultimately impacts our business, results of operations, and financial condition will depend on future developments that are still uncertain and cannot be predicted, including the scope and duration of the COVID-19 pandemic and actions taken by governmental authorities and other third parties in response to the COVID-19 pandemic.

See “MD&A—Forward-Looking Statements” in this Report for more information on the forward-looking statements and “Part I—Item 1A. Risk Factors” in our 2020 Form 10-K for factors that could materially influence our results.

Business Segment Expectations

We expect that the auto net charge-off rate will increase from the unusually low level observed in the second quarter of 2021.

10 Capital One Financial Corporation (COF)

CONSOLIDATED RESULTS OF OPERATIONS

The section below provides a comparative discussion of our consolidated financial performance for the second quarter and first six months of 2021 and 2020. We provide a discussion of our business segment results in the following section, “MD&A—Business Segment Financial Performance.” This section should be read together with our “MD&A—Executive Summary and Business Outlook,” where we discuss trends and other factors that we expect will affect our future results of operations.

Net Interest Income

Net interest income represents the difference between interest income, including certain fees, earned on our interest-earning assets and the interest expense incurred on our interest-bearing liabilities. Our interest-earning assets include loans, investment securities and other interest-earning assets, while our interest-bearing liabilities include interest-bearing deposits, securitized debt obligations, senior and subordinated notes, other borrowings and other interest-bearing liabilities. Generally, we include in interest income any past due fees on loans that we deem collectible. Our net interest margin, based on our consolidated results, represents the difference between the yield on our interest-earning assets and the cost of our interest-bearing liabilities, including the notional impact of non-interest-bearing funding. We expect net interest income and our net interest margin to fluctuate based on changes in interest rates and changes in the amount and composition of our interest-earning assets and interest-bearing liabilities.

11 Capital One Financial Corporation (COF)

Table 2 below presents the average outstanding balance, interest income earned, interest expense incurred and average yield for the second quarter and first six months of 2021 and 2020 for each major category of our interest-earning assets and interest-bearing liabilities. Nonperforming loans are included in the average loan balances below.

Table 2: Average Balances, Net Interest Income and Net Interest Margin

	Three Months Ended June 30,
	2021						2020
(Dollars in millions)	Average Balance		Interest Income/ Expense		Average Yield/ Rate		Average Balance		Interest Income/ Expense		Average Yield/ Rate
Assets:
Interest-earning assets:
Loans:(1)
Credit card	$	101,642	$	3,568	14.04	%	$	108,748	$	3,731	13.72	%
Consumer banking	72,705		1,451		7.99		64,851		1,364		8.41
Commercial banking(2)	74,933		510		2.72		80,803		608		3.01
Other(3)	—		224		**		—		117		**
Total loans, including loans held for sale	249,280		5,753		9.23		254,402		5,820		9.15
Investment securities	100,071		370		1.48		81,095		482		2.38
Cash equivalents and other interest-earning assets	40,778		16		0.16		42,648		16		0.15
Total interest-earning assets	390,129		6,139		6.29		378,145		6,318		6.68
Cash and due from banks	5,417						5,355
Allowance for credit losses	(14,007)						(14,107)
Premises and equipment, net	4,275						4,332
Other assets	38,285						37,350
Total assets	$	424,099					$	411,075
Liabilities and stockholders’ equity:
Interest-bearing liabilities:
Interest-bearing deposits	$	273,476	$	237	0.35	%	$	261,256	$	611	0.94	%
Securitized debt obligations	10,890		28		1.03		16,432		56		1.37
Senior and subordinated notes	25,487		122		1.92		31,294		180		2.30
Other borrowings and liabilities	2,198		9		1.67		3,554		11		1.21
Total interest-bearing liabilities	312,051		396		0.50		312,536		858		1.10
Non-interest-bearing deposits	34,741						27,088
Other liabilities	14,931						13,828
Total liabilities	361,723						353,452
Stockholders’ equity	62,376						57,623
Total liabilities and stockholders’ equity	$	424,099					$	411,075
Net interest income/spread			$	5,743	5.79				$	5,460	5.58
Impact of non-interest-bearing funding					0.10						0.20
Net interest margin					5.89	%					5.78	%

12 Capital One Financial Corporation (COF)

	Six Months Ended June 30,
	2021						2020
(Dollars in millions)	Average Balance		Interest Income/ Expense		Average Yield/ Rate		Average Balance		Interest Income/ Expense		Average Yield/ Rate
Assets:
Interest-earning assets:
Loans:(1)
Credit card	$	102,078	$	7,281	14.26	%	$	115,801	$	8,168	14.11	%
Consumer banking	70,979		2,864		8.07		64,262		2,711		8.44
Commercial banking(2)	74,927		1,026		2.74		78,954		1,354		3.43
Other(3)	—		436		**		—		129		**
Total loans, including loans held for sale	247,984		11,607		9.36		259,017		12,362		9.55
Investment securities	99,189		761		1.53		79,654		1,012		2.54
Cash equivalents and other interest-earning assets	42,182		32		0.15		28,075		53		0.38
Total interest-earning assets	389,355		12,400		6.37		366,746		13,427		7.32
Cash and due from banks	5,251						5,024
Allowance for credit losses	(14,773)						(12,258)
Premises and equipment, net	4,279						4,338
Other assets	38,847						36,995
Total assets	$	422,959					$	400,845
Liabilities and stockholders’ equity:
Interest-bearing liabilities:
Interest-bearing deposits	$	273,417	$	506	0.37	%	$	251,185	$	1,342	1.07	%
Securitized debt obligations	11,561		60		1.04		17,243		155		1.80
Senior and subordinated notes	26,223		251		1.92		31,318		419		2.67
Other borrowings and liabilities	2,205		18		1.65		3,667		26		1.42
Total interest-bearing liabilities	313,406		835		0.53		303,413		1,942		1.28
Non-interest-bearing deposits	33,228						25,313
Other liabilities	14,821						14,023
Total liabilities	361,455						342,749
Stockholders’ equity	61,504						58,096
Total liabilities and stockholders’ equity	$	422,959					$	400,845
Net interest income/spread			$	11,565	5.84				$	11,485	6.04
Impact of non-interest-bearing funding					0.10						0.22
Net interest margin					5.94	%					6.26	%

__________

(1)Past due fees included in interest income totaled approximately $302 million and $612 million in the second quarter and first six months of 2021, respectively, and $265 million and $656 million in the second quarter and first six months of 2020, respectively.

(2)Some of our commercial loans generate tax-exempt income. Accordingly, we present our Commercial Banking interest income and yields on a taxable-equivalent basis, calculated using the federal statutory rate of 21% and state taxes where applicable, with offsetting reductions to the Other category. Taxable-equivalent adjustments included in the interest income and yield computations for our commercial loans totaled approximately $19 million and $38 million in the second quarter and first six months of 2021, respectively, and $21 million and $41 million in the second quarter and first six months of 2020, respectively, with corresponding reductions to the Other category.

(3)Interest income/expense in the Other category represents the impact of hedge accounting on our loan portfolios and the offsetting reduction of the taxable-equivalent adjustments of our commercial loans as described above.

**    Not meaningful.

Net interest income increased by $283 million to $5.7 billion in the second quarter of 2021 compared to the second quarter of 2020, and increased by $80 million to $11.6 billion in the first six months of 2021 compared to the first six months of 2020 primarily driven by lower interest rates paid on interest-bearing deposits and higher average outstanding balances in our auto loan portfolio, partially offset by lower average outstanding balances in our domestic card loan portfolio.

13 Capital One Financial Corporation (COF)

Net interest margin increased by 11 basis points to 5.89% in the second quarter of 2021 compared to the second quarter of 2020 driven by lower interest rate paid on interest-bearing deposits, partially offset by higher balances and lower yield on investment securities.

Net interest margin decreased by 32 basis points to 5.94% in the first six months of 2021 compared to the first six months of 2020 primarily driven by a shift in our asset mix with cash and investment securities representing a greater portion of total average interest-earnings assets, partially offset by lower rates paid on interest-bearing liabilities.

Table 3 displays the change in our net interest income between periods and the extent to which the variance is attributable to:

•changes in the volume of our interest-earning assets and interest-bearing liabilities; or

•changes in the interest rates related to these assets and liabilities.

Table 3: Rate/Volume Analysis of Net Interest Income(1)

	Three Months Ended June 30,						Six Months Ended June 30,
	2021 vs. 2020						2021 vs. 2020
(Dollars in millions)	Total Variance		Volume		Rate		Total Variance		Volume		Rate
Interest income:
Loans:
Credit card	$	(163)	$	(244)	$	81	$	(887)	$	(968)	$	81
Consumer banking	87		157		(70)		153		271		(118)
Commercial banking(2)	(98)		(42)		(56)		(328)		(66)		(262)
Other(3)	107		—		107		307		—		307
Total loans, including loans held for sale	(67)		(129)		62		(755)		(763)		8
Investment securities	(112)		70		(182)		(251)		150		(401)
Cash equivalents and other interest-earning assets	—		(1)		1		(21)		11		(32)
Total interest income	(179)		(60)		(119)		(1,027)		(602)		(425)
Interest expense:
Interest-bearing deposits	(374)		11		(385)		(836)		41		(877)
Securitized debt obligations	(28)		(16)		(12)		(95)		(40)		(55)
Senior and subordinated notes	(58)		(31)		(27)		(168)		(60)		(108)
Other borrowings and liabilities	(2)		(4)		2		(8)		(10)		2
Total interest expense	(462)		(40)		(422)		(1,107)		(69)		(1,038)
Net interest income	$	283	$	(20)	$	303	$	80	$	(533)	$	613

__________

(1)We calculate the change in interest income and interest expense separately for each item. The portion of interest income or interest expense attributable to both volume and rate is allocated proportionately when the calculation results in a positive value. When the portion of interest income or interest expense attributable to both volume and rate results in a negative value, the total amount is allocated to volume or rate, depending on which amount is positive.

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

(3)Interest income/expense in the Other category represents the impact of hedge accounting on our loan portfolios and the offsetting reduction of the taxable-equivalent adjustments of our commercial loans as described above.

14 Capital One Financial Corporation (COF)

Non-Interest Income

Table 4 displays the components of non-interest income for the second quarter and first six months of 2021 and 2020.

Table 4: Non-Interest Income

	Three Months Ended June 30,				Six Months Ended June 30,
(Dollars in millions)	2021		2020		2021		2020
Interchange fees, net	$	1,016	$	672	$	1,833	$	1,424
Service charges and other customer-related fees	384		258		736		585
Net securities gains	—		—		4		—
Other non-interest income:(1)
Mortgage banking revenue	40		38		100		106
Treasury and other investment income	94		63		78		56
Other	97		65		171		149
Total other non-interest income	231		166		349		311
Total non-interest income	$	1,631	$	1,096	$	2,922	$	2,320

________

(1)Includes gains of $26 million and $45 million on deferred compensation plan investments for the second quarter and first six months of 2021, respectively, and gains of $44 million and losses of $15 million on deferred compensation plan investments for the second quarter and first six months of 2020, respectively. These amounts have corresponding offsets in other non-interest expense.

Non-interest income increased by $535 million to $1.6 billion in the the second quarter of 2021 compared to the second quarter of 2020 and increased by $602 million to $2.9 billion in the first six months of 2021 compared to the first six months of 2020 primarily driven by higher net interchange fees due to an increase in purchase volume in Domestic Card.

Provision for Credit Losses

Our provision for credit losses in each period is driven by net charge-offs, changes to the allowance for credit losses and changes to the reserve for unfunded lending commitments. Our provision for credit losses decreased by $5.4 billion to a benefit of $1.2 billion in the second quarter of 2021 and decreased by $11.7 billion to a benefit of $2.0 billion in the first six months of 2021. These decreases were primarily driven by allowance releases in the first and second quarters of 2021 due to continued strong credit performance and an improved economic outlook compared to allowance builds in the first and second quarters of 2020 driven by expectations of economic worsening at the start of the COVID-19 pandemic.

We provide additional information on the provision for credit losses and changes in the allowance for credit losses within “MD&A—Credit Risk Profile” and “Note 4—Allowance for Credit Losses and Reserve for Unfunded Lending Commitments.” For information on the allowance methodology for each of our loan categories, see “Note 1—Summary of Significant Accounting Policies” in our 2020 Form 10-K.

15 Capital One Financial Corporation (COF)

Non-Interest Expense

Table 5 displays the components of non-interest expense for the second quarter and first six months of 2021 and 2020.

Table 5: Non-Interest Expense

	Three Months Ended June 30,				Six Months Ended June 30,
(Dollars in millions)	2021		2020		2021		2020
Salaries and associate benefits(1)	$	1,781	$	1,704	$	3,628	$	3,331
Occupancy and equipment	523		523		995		1,040
Marketing	620		273		1,121		764
Professional services	341		304		633		591
Communications and data processing	315		308		617		610
Amortization of intangibles	5		16		11		38
Other non-interest expense:
Bankcard, regulatory and other fee assessments	38		66		90		141
Collections	95		76		179		181
Fraud losses	40		71		75		150
Other(2)	208		429		357		653
Total other non-interest expense	381		642		701		1,125
Total non-interest expense	$	3,966	$	3,770	$	7,706	$	7,499

_________

(1)Includes expense of $26 million and $45 million related to our deferred compensation plan investments for the second quarter and first six months of 2021, respectively, and expense of $44 million and benefit of $15 million related to our deferred compensation plan investments for the second quarter and first six months of 2020, respectively. These amounts have corresponding offsets in other non-interest income.

(2)Includes legal reserve builds of $55 million for the second quarter and first six months of 2021 and $265 million and $310 million for the second quarter and first six months of 2020, respectively.

Non-interest expense increased by $196 million to $4.0 billion in the second quarter of 2021 compared to the second quarter of 2020 and increased by $207 million to $7.7 billion in the first six months of 2021 compared to the first six months of 2020, primarily driven by increased marketing spend.

Income Taxes

We recorded an income tax provision of $1.0 billion (22.6% effective income tax rate) and $1.9 billion (21.7% effective income tax rate) in the second quarter and first six months of 2021, respectively, compared to an income tax benefit of $543 million (37.2% effective income tax rate) and $1.1 billion (32.9% effective income tax rate) in the second quarter and first six months of 2020, respectively. Our effective tax rate on income from continuing operations varies between periods due, in part, to the impact of changes in pre-tax income and changes in tax credits, tax-exempt income and non-deductible expenses relative to our pre-tax earnings.

The decrease in our effective income tax rate in the second quarter and first six months of 2021 compared to the second quarter and first six months of 2020 was primarily due to significantly higher positive pre-tax earnings in 2021 compared to pre-tax losses in 2020 driven by expectations of economic worsening that existed at the start of the COVID-19 pandemic in 2020.

We provide additional information on items affecting our income taxes and effective tax rate in “Note 15—Income Taxes” in our 2020 Form 10-K.

16 Capital One Financial Corporation (COF)

CONSOLIDATED BALANCE SHEETS ANALYSIS

Total assets increased by $1.8 billion to $423.4 billion as of June 30, 2021 from December 31, 2020 primarily driven by an increase in loan balances, net of higher customer payments, which was partially offset by a decrease in our cash balances due to paydowns of our securitized debt obligations and redemptions of our senior unsecured debt.

Total liabilities decreased by $2.6 billion to $358.8 billion as of June 30, 2021 from December 31, 2020 primarily driven by redemptions of our senior unsecured debt and paydowns of our securitization debt obligations, partially offset by growth in deposits driven by increased consumer savings.

Stockholders’ equity increased by $4.4 billion to $64.6 billion as of June 30, 2021 from December 31, 2020 primarily due to our net income of $6.9 billion, partially offset by the repurchase of shares of our common stock.

The following is a discussion of material changes in the major components of our assets and liabilities during the first six months of 2021. Period-end balance sheet amounts may vary from average balance sheet amounts due to liquidity and balance sheet management activities that are intended to support the adequacy of capital while managing our liquidity requirements, our customers and our market risk exposure in accordance with our risk appetite.

Investment Securities

Our investment securities portfolio consists of the following: U.S. government-sponsored enterprise or agency (“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% of our total investment securities portfolio as of both June 30, 2021 and December 31, 2020.

The fair value of our available for sale securities portfolio increased by $1.3 billion to $101.8 billion as of June 30, 2021 from December 31, 2020, primarily driven by net purchases, partially offset by the increase in interest rates. See “Note 2—Investment Securities” for more information.

Table 6 presents the amortized cost and fair value for the major security types in our available for sale securities portfolio as of June 30, 2021 and December 31, 2020.

Table 6: Investment Securities

	June 30, 2021				December 31, 2020
(Dollars in millions)	Amortized Cost		Fair Value		Amortized Cost		Fair Value
Investment securities available for sale:
U.S. Treasury securities	$	9,211	$	9,231	$	9,302	$	9,318
RMBS:
Agency	76,318		77,206		73,248		75,466
Non-agency	908		1,116		1,035		1,237
Total RMBS	77,226		78,322		74,283		76,703
Agency CMBS	10,781		11,087		11,298		11,735
Other securities(1)	3,118		3,126		2,686		2,689
Total investment securities available for sale	$	100,336	$	101,766	$	97,569	$	100,445

__________

(1)Includes $2.3 billion and $1.8 billion of asset-backed securities as of June 30, 2021 and December 31, 2020, respectively. The remaining amount is primarily comprised of supranational bonds and foreign government bonds.

17 Capital One Financial Corporation (COF)

Loans Held for Investment

Total loans held for investment consists of both unsecuritized loans and loans held in our consolidated trusts. Table 7 summarizes, by portfolio segment, the carrying value of our loans held for investment, the allowance for credit losses and net loan balance as of June 30, 2021 and December 31, 2020.

Table 7: Loans Held for Investment

	June 30, 2021						December 31, 2020
(Dollars in millions)	Loans		Allowance		Net Loans		Loans		Allowance		Net Loans
Credit Card	$	101,017	$	8,873	$	92,144	$	106,956	$	11,191	$	95,765
Consumer Banking	74,759		2,203		72,556		68,888		2,715		66,173
Commercial Banking	73,821		1,270		72,551		75,780		1,658		74,122
Total	$	249,597	$	12,346	$	237,251	$	251,624	$	15,564	$	236,060

Loans held for investment decreased by $2.0 billion to $249.6 billion as of June 30, 2021 from December 31, 2020 primarily due to higher customer payments in Domestic Card and the transfer of $4.1 billion in loans to held for sale, partially offset by growth in our auto loan portfolio and higher purchase volume in Domestic Card.

We provide additional information on the composition of our loan portfolio and credit quality in “MD&A—Credit Risk Profile,” “MD&A—Consolidated Results of Operations” and “Note 3—Loans.”

Funding Sources

Our primary source of funding comes from deposits, as they are a stable and relatively low cost source of funding. In addition to deposits, we raise funding through the issuance of senior and subordinated notes, securitized debt obligations, federal funds purchased, securities loaned or sold under agreements to repurchase, and Federal Home Loan Banks (“FHLB”) advances secured by certain portions of our loan and securities portfolios.

Table 8 provides the composition of our primary sources of funding as of June 30, 2021 and December 31, 2020.

Table 8: Funding Sources Composition

	June 30, 2021				December 31, 2020
(Dollars in millions)	Amount		% of Total		Amount		% of Total
Deposits:
Consumer Banking	$	251,155	73	%	$	249,815	72	%
Commercial Banking	42,973		12		39,590		11
Other(1)	12,180		4		16,037		5
Total deposits	306,308		89		305,442		88
Securitized debt obligations	10,561		3		12,414		4
Other debt	25,782		8		28,125		8
Total funding sources	$	342,651	100	%	$	345,981	100	%

__________

(1)Includes brokered deposits of $11.1 billion and $15.0 billion as of June 30, 2021 and December 31, 2020, respectively.

Total deposits increased by $866 million to $306.3 billion as of June 30, 2021 from December 31, 2020 primarily driven by increased consumer savings, as well as commercial clients holding elevated levels of liquidity.

Securitized debt obligations decreased by $1.9 billion to $10.6 billion as of June 30, 2021 from December 31, 2020 primarily driven by maturities and paydowns in our securitizations.

Other debt decreased by $2.3 billion to $25.8 billion as of June 30, 2021 from December 31, 2020 primarily driven by redemptions of our senior unsecured debt.

We provide additional information on our funding sources in “MD&A—Liquidity Risk Profile” and “Note 7—Deposits and Borrowings.”

18 Capital One Financial Corporation (COF)

OFF-BALANCE SHEET ARRANGEMENTS

In the ordinary course of business, we engage in certain activities that are not reflected on our consolidated balance sheets, generally referred to as off-balance sheet arrangements. These activities typically involve transactions with unconsolidated variable interest entities (“VIEs”) as well as other arrangements, such as letters of credit, loan commitments and guarantees, to meet the financing needs of our customers and support their ongoing operations. We provide additional information regarding these types of activities in “Note 5—Variable Interest Entities and Securitizations” and “Note 13—Commitments, Contingencies, Guarantees and Others.”

BUSINESS SEGMENT FINANCIAL PERFORMANCE

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. 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 segment, such as management of our corporate investment portfolio, asset/liability management by our centralized Corporate Treasury group and calculation of our residual tax expense or benefit to arrive at the consolidated effective tax rate that is not assessed to our primary business segments, are included in the Other category.

The results of our individual businesses, which we report on a continuing operations basis, reflect the manner in which management evaluates performance and makes decisions about funding our operations and allocating resources. We may periodically change our business segments or reclassify business segment results based on modifications to our management reporting methodologies and changes in organizational alignment. Our business segment results are intended to reflect each segment as if it were a stand-alone business. We use an internal management and reporting process to derive our business segment results. Our internal management and reporting process employs various allocation methodologies, including funds transfer pricing, to assign certain balance sheet assets, deposits and other liabilities and their related revenue and expenses directly or indirectly attributable to each business segment. Total interest income and non-interest income are directly attributable to the segment in which they are reported. The net interest income of each segment reflects the results of our funds transfer pricing process, which is primarily based on a matched funding concept that takes into consideration market interest rates. Our funds transfer pricing process 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 process is unique to each business segment and acquired business. 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 “Note 17—Business Segments and Revenue from Contracts with Customers” in our 2020 Form 10-K.

We refer to the business segment results derived from our internal management accounting and reporting process as our “managed” presentation, which differs in some cases from our reported results prepared based on U.S. GAAP. There is no comprehensive authoritative body of guidance for management accounting equivalent to U.S. GAAP; therefore, the managed presentation of our business segment results may not be comparable to similar information provided by other financial services companies. In addition, our individual business segment results should not be used as a substitute for comparable results determined in accordance with U.S. GAAP.

We summarize our business segment results for the second quarter and first six months of 2021 and 2020 and provide a comparative discussion of these results, as well as changes in our financial condition and credit performance metrics as of June 30, 2021 compared to December 31, 2020. We provide a reconciliation of our total business segment results to our reported consolidated results in “Note 12—Business Segments and Revenue from Contracts with Customers.”

19 Capital One Financial Corporation (COF)

Business Segment Financial Performance

Table 9 summarizes our business segment results, which we report based on revenue (loss) and income (loss) from continuing operations, for the second quarter and first six months of 2021 and 2020.

Table 9: Business Segment Results

	Three Months Ended June 30,
	2021								2020
	Total Net Revenue (Loss)(1)				Net Income (Loss)(2)				Total Net Revenue (Loss)(1)				Net Loss(2)
(Dollars in millions)	Amount		% of Total		Amount		% of Total		Amount		% of Total		Amount		% of Total
Credit Card	$	4,470	61	%	$	2,170	61	%	$	4,214	64	%	$	(533)	58	%
Consumer Banking	2,245		30		1,091		31		1,762		27		(114)		12
Commercial Banking(3)	717		10		396		11		698		11		(118)		13
Other(3)	(58)		(1)		(120)		(3)		(118)		(2)		(152)		17
Total	$	7,374	100	%	$	3,537	100	%	$	6,556	100	%	$	(917)	100	%

	Six Months Ended June 30,
	2021								2020
	Total Net Revenue (Loss)(1)				Net Income (Loss)(2)				Total Net Revenue(1)				Net Loss(2)
(Dollars in millions)	Amount		% of Total		Amount		% of Total		Amount		% of Total		Amount		% of Total
Credit Card	$	8,871	61	%	$	4,275	62	%	$	8,827	64	%	$	(1,524)	68	%
Consumer Banking	4,416		31		1,993		29		3,545		26		(166)		7
Commercial Banking(3)	1,477		10		812		12		1,427		10		(529)		23
Other(3)	(277)		(2)		(216)		(3)		6		—		(38)		2
Total	$	14,487	100	%	$	6,864	100	%	$	13,805	100	%	$	(2,257)	100	%

__________

(1)Total net revenue (loss) consists of net interest income and non-interest income.

(2)Net income (loss) for our business segments and the Other category is based on income (loss) from continuing operations, net of tax.

(3)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.

20 Capital One Financial Corporation (COF)

Credit Card Business

The primary sources of revenue for our Credit Card business are net interest income, net interchange income and fees collected from customers. Expenses primarily consist of the provision for credit losses, operating costs and marketing expenses.

Our Credit Card business generated net income from continuing operations of $2.2 billion and $4.3 billion in the second quarter and first six months of 2021, respectively, compared to net loss of $533 million and $1.5 billion in the second quarter and first six months of 2020, respectively.

Table 10 summarizes the financial results of our Credit Card business and displays selected key metrics for the periods indicated.

Table 10: Credit Card Business Results

	Three Months Ended June 30,								Six Months Ended June 30,
(Dollars in millions, except as noted)	2021			2020			Change		2021			2020			Change
Selected income statement data:
Net interest income	$	3,217		$	3,369		(5)	%	$	6,589		$	7,071		(7)	%
Non-interest income	1,253			845			48		2,282			1,756			30
Total net revenue(1)	4,470			4,214			6		8,871			8,827			—
Provision (benefit) for credit losses	(635)			2,944			**		(1,127)			6,646			**
Non-interest expense	2,263			1,969			15		4,398			4,177			5
Income (loss) from continuing operations before income taxes	2,842			(699)			**		5,600			(1,996)			**
Income tax provision (benefit)	672			(166)			**		1,325			(472)			**
Income (loss) from continuing operations, net of tax	$	2,170		$	(533)		**		$	4,275		$	(1,524)		**
Selected performance metrics:
Average loans held for investment	$	99,674		$	108,748		(8)		$	100,102		$	115,762		(14)
Average yield on loans(2)	14.04		%	13.72		%	32	bps	14.26		%	14.11		%	15	bps
Total net revenue margin(3)	17.59			15.50			209		17.38			15.25			213
Net charge-offs	$	571		$	1,211		(53)	%	$	1,204		$	2,647		(55)	%
Net charge-off rate	2.29		%	4.46		%	(217)	bps	2.41		%	4.57		%	(216)	bps
Purchase volume	$	132,676		$	90,149		47	%	$	241,009		$	190,069		27	%
(Dollars in millions, except as noted)	June 30, 2021			December 31, 2020			Change
Selected period-end data:
Loans held for investment	$	101,017		$	106,956		(6)	%
30+ day performing delinquency rate	1.75		%	2.44		%	(69)	bps
30+ day delinquency rate	1.75			2.45			(70)
Nonperforming loan rate(4)	0.01			0.02			(1)
Allowance for credit losses	$	8,873		$	11,191		(21)	%
Allowance coverage ratio	8.78		%	10.46		%	(168)	bps

__________

(1)We recognize finance charges and fee income on open-ended loans in accordance with the contractual provisions of the credit arrangements and charge off uncollectible amounts. Total net revenue was reduced by $175 million and $355 million in the second quarter and first six months of 2021, respectively, compared to $318 million and $707 million in the second quarter and first six months of 2020, respectively, for credit card finance charges and fees charged off as uncollectible.

(2)Average yield is calculated based on annualized interest income for the period divided by average loans during the period and does not include any allocations, such as funds transfer pricing.

(3)Total net revenue margin is calculated based on annualized total net revenue for the period divided by average loans during the period.

(4)Within our credit card loan portfolio, only certain loans in our international card businesses are classified as nonperforming. See “MD&A—Nonperforming Loans and Other Nonperforming Assets” for additional information.

**    Not meaningful.

21 Capital One Financial Corporation (COF)

Key factors affecting the results of our Credit Card business for the second quarter and first six months of 2021 compared to the second quarter and first six months of 2020, and changes in financial condition and credit performance between June 30, 2021 and December 31, 2020 include the following:

•Net Interest Income: Net interest income decreased by $152 million to $3.2 billion in the second quarter of 2021 and decreased by $482 million to $6.6 billion in the first six months of 2021 primarily driven by lower average loan balances.

•Non-Interest Income: Non-interest income increased by $408 million to $1.3 billion in the second quarter of 2021 and increased by $526 million to $2.3 billion in the first six months of 2021 primarily driven by higher net interchange fees due to an increase in purchase volume.

•Provision for Credit Losses: Provision for credit losses decreased by $3.6 billion to a benefit of $635 million in the second quarter of 2021 and decreased by $7.8 billion to a benefit of $1.1 billion in the first six months of 2021 resulting from allowance releases in the first and second quarters of 2021 due to continued strong credit performance and an improved economic outlook compared to allowance builds in the first and second quarters of 2020 driven by expectations of economic worsening at the start of the COVID-19 pandemic.

•Non-Interest Expense: Non-interest expense increased by $294 million to $2.3 billion in the second quarter of 2021 and increased by $221 million to $4.4 billion in the first six months of 2021 primarily driven by increased marketing spend.

•Loans Held for Investment:

◦Period-end loans held for investment decreased by $5.9 billion to $101.0 billion as of June 30, 2021 from December 31, 2020 primarily due to higher customer payments and the transfer of a $2.6 billion international partnership portfolio to held for sale as of June 30, 2021, partially offset by higher purchase volume in Domestic Card.

◦Average loans held for investment decreased by $9.1 billion to $99.7 billion in the second quarter of 2021 compared to the second quarter of 2020 and decreased by $15.7 billion to $100.1 billion in the first six months of 2021 compared to the first six months of 2020 primarily due to higher customer payments, partially offset by higher purchase volume in Domestic Card.

•Net Charge-Off and Delinquency Metrics: The net charge-off rate decreased by 217 basis points to 2.29% in the second quarter of 2021 compared to the second quarter of 2020 and decreased by 216 basis points to 2.41% in the first six months of 2021 compared to the first six months of 2020 primarily driven by strong credit performance in Domestic Card due to higher customer payments, partially offset by lower average loans held for investment.

The 30+ day delinquency rate decreased by 70 basis points to 1.75% as of June 30, 2021 from December 31, 2020 due to seasonally lower delinquency inventories and strong credit performance in our domestic credit card loan portfolio.

22 Capital One Financial Corporation (COF)

Domestic Card Business

The Domestic Card business generated net income from continuing operations of $2.0 billion and $4.0 billion in the second quarter and first six months of 2021, respectively, compared to net loss of $605 million and $1.5 billion in the second quarter and first six months of 2020, respectively. In the second quarter and first six months of 2021 and 2020, the Domestic Card business accounted for greater than 90% of total net revenue of our Credit Card business.

Table 10.1 summarizes the financial results for Domestic Card business and displays selected key metrics for the periods indicated.

Table 10.1: Domestic Card Business Results

	Three Months Ended June 30,								Six Months Ended June 30,
(Dollars in millions, except as noted)	2021			2020			Change		2021			2020			Change
Selected income statement data:
Net interest income	$	2,944		$	3,094		(5)	%	$	6,039		$	6,475		(7)	%
Non-interest income	1,183			795			49		2,142			1,637			31
Total net revenue(1)	4,127			3,889			6		8,181			8,112			1
Provision (benefit) for credit losses	(561)			2,906			**		(1,052)			6,370			**
Non-interest expense	2,034			1,776			15		3,957			3,760			5
Income (loss) from continuing operations before income taxes	2,654			(793)			**		5,276			(2,018)			**
Income tax provision (benefit)	626			(188)			**		1,245			(478)			**
Income (loss) from continuing operations, net of tax	$	2,028		$	(605)		**		$	4,031		$	(1,540)		**
Selected performance metrics:
Average loans held for investment	$	91,535		$	100,996		(9)		$	92,062		$	107,354		(14)
Average yield on loans(2)	13.91		%	13.52		%	39	bps	14.13		%	13.93		%	20	bps
Total net revenue margin(3)	17.66			15.40			226		17.40			15.11			229
Net charge-offs	$	522		$	1,143		(54)	%	$	1,109		$	2,474		(55)	%
Net charge-off rate	2.28		%	4.53		%	(225)	bps	2.41		%	4.61		%	(220)	bps
Purchase volume	$	122,456		$	82,860		48	%	$	222,416		$	175,108		27	%
(Dollars in millions, except as noted)	June 30, 2021			December 31, 2020			Change
Selected period-end data:
Loans held for investment	$	95,309		$	98,504		(3)	%
30+ day performing delinquency rate	1.68		%	2.42		%	(74)	bps
Allowance for credit losses	$	8,489		$	10,650		(20)	%
Allowance coverage ratio	8.91		%	10.81		%	(190)	bps

__________

(1)We recognize finance charges and fee income on open-ended loans in accordance with the contractual provisions of the credit arrangements and charge off uncollectible amounts. Finance charges and fees charged off as uncollectible are reflected as a reduction in total net revenue.

(2)Average yield is calculated based on annualized interest income for the period divided by average loans during the period and does not include any allocations, such as funds transfer pricing.

(3)Total net revenue margin is calculated based on annualized total net revenue for the period divided by average loans during the period.

**    Not meaningful.

23 Capital One Financial Corporation (COF)

Because our Domestic Card business accounts for the substantial majority of our Credit Card business, the key factors driving the results are similar to the key factors affecting our total Credit Card business. Net income for our Domestic Card business increased in the second quarter of 2021 and in the first six months of 2021 compared to the second quarter of 2020 and the first six months of 2020 primarily driven by:

•lower provision for credit losses resulting from allowance releases in the first and second quarters of 2021 due to continued strong credit performance and an improved economic outlook compared to allowance builds in the first and second quarters of 2020 driven by expectations of economic worsening at the start of the COVID-19 pandemic; and

•higher non-interest income primarily due to higher net interchange fees from an increase in purchase volume.

These drivers were partially offset by:

•higher non-interest expense primarily driven by increased marketing spend; and

•lower net interest income primarily due to lower average outstanding balances.

24 Capital One Financial Corporation (COF)

Consumer Banking Business

The primary sources of revenue for our Consumer Banking business are net interest income from loans and deposits as well as service charges and customer-related fees. Expenses primarily consist of the provision for credit losses, operating costs and marketing expenses.

Our Consumer Banking business generated net income from continuing operations of $1.1 billion and $2.0 billion in the second quarter and first six months of 2021, respectively, compared to net loss of $114 million and $166 million in the second quarter and first six months of 2020, respectively.

Table 11 summarizes the financial results of our Consumer Banking business and displays selected key metrics for the periods indicated.

Table 11: Consumer Banking Business Results

	Three Months Ended June 30,								Six Months Ended June 30,
(Dollars in millions, except as noted)	2021			2020			Change		2021			2020			Change
Selected income statement data:
Net interest income	$	2,101		$	1,665		26	%	$	4,131		$	3,322		24	%
Non-interest income	144			97			48		285			223			28
Total net revenue	2,245			1,762			27		4,416			3,545			25
Provision (benefit) for credit losses	(306)			876			**		(432)			1,736			**
Non-interest expense	1,123			1,036			8		2,240			2,027			11
Income (loss) from continuing operations before income taxes	1,428			(150)			**		2,608			(218)			**
Income tax provision (benefit)	337			(36)			**		615			(52)			**
Income (loss) from continuing operations, net of tax	$	1,091		$	(114)		**		$	1,993		$	(166)		**
Selected performance metrics:
Average loans held for investment:
Auto	$	69,543		$	61,798		13		$	67,873		$	61,401		11
Retail banking	3,162			3,053			4		3,106			2,860			9
Total consumer banking	$	72,705		$	64,851		12		$	70,979		$	64,261		10
Average yield on loans held for investment(1)	7.99		%	8.41		%	(42)	bps	8.07		%	8.44		%	(37)	bps
Average deposits	$	252,488		$	232,293		9	%	$	251,002		$	223,682		12	%
Average deposits interest rate	0.31		%	0.89		%	(58)	bps	0.33		%	0.97		%	(64)	bps
Net charge-offs (recoveries)	$	(11)		$	192		**		$	80		$	438		(82)	%
Net charge-off (recovery) rate	(0.06)		%	1.19		%	(125)	bps	0.23		%	1.36		%	(113)	bps
Auto loan originations	$	12,959		$	8,292		56	%	$	21,792		$	15,931		37	%
(Dollars in millions, except as noted)	June 30, 2021			December 31, 2020			Change
Selected period-end data:
Loans held for investment:
Auto	$	71,713		$	65,762		9	%
Retail banking	3,046			3,126			(3)
Total consumer banking	$	74,759		$	68,888		9
30+ day performing delinquency rate	3.16		%	4.62		%	(146)	bps
30+ day delinquency rate	3.40			5.00			(160)
Nonperforming loan rate	0.35			0.47			(12)
Nonperforming asset rate(2)	0.40			0.54			(14)
Allowance for credit losses	$	2,203		$	2,715		(19)	%
Allowance coverage ratio	2.95		%	3.94		%	(99)	bps
Deposits	$	251,155		$	249,815		1	%

25 Capital One Financial Corporation (COF)

__________

(1)Average yield is calculated based on annualized interest income for the period divided by average loans during the period and does not include any allocations, such as funds transfer pricing.

(2)Nonperforming assets primarily consist of nonperforming loans and repossessed assets. The total nonperforming asset rate is calculated based on total nonperforming assets divided by the combined period-end total loans held for investment and repossessed assets.

**    Not meaningful.

Key factors affecting the results of our Consumer Banking business for the second quarter and first six months of 2021 compared to the second quarter and first six months of 2020, and changes in financial condition and credit performance between June 30, 2021 and December 31, 2020 include the following:

•Net Interest Income: Net interest income increased by $436 million to $2.1 billion in the second quarter of 2021 and increased by $809 million to $4.1 billion in the first six months of 2021 primarily driven by higher margins and deposits in our Retail Banking business as well as growth in our auto loan portfolio.

•Non-Interest Income: Non-interest income increased by $47 million to $144 million in the second quarter of 2021 and increased by $62 million to $285 million in the first six months of 2021 primarily driven by higher interchange fees from an increase in debit card purchase volume and growth in our auto loan portfolio.

•Provision for Credit Losses: Provision for credit losses decreased by $1.2 billion to a benefit of $306 million in the second quarter of 2021 and decreased by $2.2 billion to a benefit of $432 million in the first six months of 2021 resulting from allowance releases due to continued strong credit performance, an improved economic outlook and auction price favorability, compared to allowance builds in the first and second quarters of 2020 driven by expectations of economic worsening at the start of the COVID-19 pandemic.

•Non-Interest Expense: Non-interest expense increased by $87 million to $1.1 billion in the second quarter of 2021 and increased by $213 million to $2.2 billion in the first six months of 2021 primarily driven by growth in our auto loan portfolio as well as continued investment in infrastructure and technology.

•Loans Held for Investment: Period-end loans held for investment increased by $5.9 billion to $74.8 billion as of June 30, 2021 from December 31, 2020, and average loans held for investment increased by $7.9 billion to $72.7 billion in the second quarter of 2021 compared to the second quarter of 2020 and increased by $6.7 billion to $71.0 billion in the first six months of 2021 compared to the first six months of 2020 primarily driven by growth in our auto loan portfolio due to higher originations.

•Deposits: Period-end deposits increased by $1.3 billion to $251.2 billion as of June 30, 2021 from December 31, 2020 primarily driven by increased consumer savings.

•Net Charge-Off and Delinquency Metrics: The net charge-off rate decreased by 125 basis points to a net recovery of 0.06% in the second quarter of 2021 compared to the second quarter of 2020 and decreased by 113 basis points to 0.23% in the first six months of 2021 compared to the first six months of 2020 primarily driven by strong credit performance and the impact of elevated auction prices on recoveries.

The 30+ day delinquency rate decreased by 160 basis points to 3.40% as of June 30, 2021 from December 31, 2020 driven by seasonally lower delinquency inventories and strong credit performance in our auto loan portfolio.

Commercial Banking Business

The primary sources of revenue for our Commercial Banking business are net interest income from loans and deposits and non-interest income earned from products and services provided to our clients such as capital markets and treasury management. Because our Commercial Banking business has loans and investments that generate tax-exempt income, tax credits or other tax benefits, we present the revenues on a taxable-equivalent basis. Expenses primarily consist of the provision for credit losses and operating costs.

Our Commercial Banking business generated net income from continuing operations of $396 million and $812 million in the second quarter of 2021, respectively, compared to net loss of $118 million and $529 million in the second quarter and first six months of 2020, respectively.

26 Capital One Financial Corporation (COF)

Table 12 summarizes the financial results of our Commercial Banking business and displays selected key metrics for the periods indicated.

Table 12: Commercial Banking Business Results

	Three Months Ended June 30,								Six Months Ended June 30,
(Dollars in millions, except as noted)	2021			2020			Change		2021			2020			Change
Selected income statement data:
Net interest income	$	460		$	518		(11)	%	$	980		$	1,009		(3)	%
Non-interest income	257			180			43		497			418			19
Total net revenue(1)	717			698			3		1,477			1,427			4
Provision (benefit) for credit losses(2)	(219)			427			**		(422)			1,283			**
Non-interest expense	417			425			(2)		836			837			—
Income (loss) from continuing operations before income taxes	519			(154)			**		1,063			(693)			**
Income tax provision (benefit)	123			(36)			**		251			(164)			**
Income (loss) from continuing operations, net of tax	$	396		$	(118)		**		$	812		$	(529)		**
Selected performance metrics:
Average loans held for investment:
Commercial and multifamily real estate	$	30,124		$	31,723		(5)		$	29,991		$	31,402		(4)
Commercial and industrial	43,960			48,036			(8)		44,135			46,699			(5)
Total commercial banking	$	74,084		$	79,759		(7)		$	74,126		$	78,101		(5)
Average yield on loans held for investment(1)(3)	2.72		%	3.00		%	(28)	bps	2.74		%	3.43		%	(69)	bps
Average deposits	$	42,311		$	34,635		22	%	$	41,215		$	33,437		23	%
Average deposits interest rate	0.14		%	0.30		%	(16)	bps	0.16		%	0.58		%	(42)	bps
Net charge-offs (recoveries)	$	(19)		$	102		**		$	(3)		$	211		**
Net charge-off (recovery) rate	(0.11)		%	0.51		%	(62)	bps	(0.01)		%	0.54		%	(55)	bps
(Dollars in millions, except as noted)	June 30, 2021			December 31, 2020			Change
Selected period-end data:
Loans held for investment:
Commercial and multifamily real estate	$	29,616		$	30,681		(3)	%
Commercial and industrial	44,205			45,099			(2)
Total commercial banking	$	73,821		$	75,780		(3)
Nonperforming loan rate	1.03		%	0.86		%	17	bps
Nonperforming asset rate(4)	1.03			0.86			17
Allowance for credit losses(2)	$	1,270		$	1,658		(23)	%
Allowance coverage ratio	1.72		%	2.19		%	(47)	bps
Deposits	$	42,973		$	39,590		9	%
Loans serviced for others	45,898			44,162			4

__________

(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)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 is included in other liabilities on our consolidated balance sheets. Our reserve for unfunded lending commitments totaled $164 million and $195 million as of June 30, 2021 and December 31, 2020, respectively.

(3)Average yield is calculated based on annualized interest income for the period divided by average loans during the period and does not include any allocations, such as funds transfer pricing.

(4)Nonperforming assets consist of nonperforming loans and other foreclosed assets. The total nonperforming asset rate is calculated based on total nonperforming assets divided by the combined period-end total loans held for investment and other foreclosed assets.

**    Not meaningful.

27 Capital One Financial Corporation (COF)

Key factors affecting the results of our Commercial Banking business for the second quarter and first six months of 2021 compared to the second quarter and first six months of 2020, and changes in financial condition and credit performance between June 30, 2021 and December 31, 2020 include the following:

•Net Interest Income: Net interest income decreased by $58 million to $460 million in the second quarter of 2021 and decreased by $29 million to $980 million in the first six months of 2021 primarily driven by a one-time charge for unwinding the internal funding related to moving $1.5 billion in loans to held for sale, as well as lower average loan balances and higher average deposits.

•Non-Interest Income: Non-interest income increased by $77 million to $257 million in the second quarter of 2021 and increased by $79 million to $497 million in the first six months of 2021 driven by higher activity in our capital markets business.

•Provision for Credit Losses: Provision for credit losses decreased by $646 million to a benefit of $219 million in the second quarter of 2021 and decreased by $1.7 billion to a benefit of $422 million in the first six months of 2021 resulting from allowance releases due to an improved economic outlook and improvement in our energy portfolio, compared to allowance builds in the first and second quarter of 2020 driven by expectations of economic worsening at the start of the COVID-19 pandemic as well as credit deterioration in our energy loan portfolio.

•Non-Interest Expense: Non-interest expense has remained substantially flat at $417 million in the second quarter of 2021 and $836 million in the first six months of 2021.

•Loans Held for Investment:

◦Period-end loans held for investment decreased by $2.0 billion to $73.8 billion as of June 30, 2021 from December 31, 2020 primarily driven by higher utilization of credit lines in 2020 due to the COVID-19 pandemic and the transfer of $1.5 billion in loans to held for sale as of June 30, 2021.

◦Average loans held for investment decreased by $5.7 billion to $74.1 billion in the second quarter of 2021 compared to the second quarter of 2020 and decreased by $4.0 billion to $74.1 billion in the first six months of 2021 compared to the first six months of 2020 driven by higher utilization of credit lines in 2020 due to the COVID-19 pandemic.

•Deposits: Period-end deposits increased by $3.4 billion to $43.0 billion as of June 30, 2021 from December 31, 2020 primarily driven by elevated client liquidity.

•Net Charge-Off and Nonperforming Metrics: The net charge-off rate decreased by 62 basis points to a net recovery of 0.11% in the second quarter of 2021 and decreased by 55 basis points to a net recovery of 0.01% in the first six months of 2021 primarily driven by lower net charge-offs in our energy loan portfolio.

The nonperforming loan rate increased by 17 basis points to 1.03% as of June 30, 2021 from December 31, 2020 driven by isolated credit downgrades in our real estate portfolio.

Other Category

Other includes unallocated amounts related to our centralized Corporate Treasury group activities, such as management of our corporate investment securities portfolio, asset/liability management and certain capital management activities. Other also includes:

•unallocated corporate revenue and 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;

•offsets related to certain line-item reclassifications;

•residual tax expense or benefit to arrive at the consolidated effective tax rate that is not assessed to our primary business segments; and

•foreign exchange-rate fluctuations on foreign currency-denominated balances.

28 Capital One Financial Corporation (COF)

Table 13 summarizes the financial results of our Other category for the periods indicated.

Table 13: Other Category Results

	Three Months Ended June 30,						Six Months Ended June 30,
(Dollars in millions)	2021		2020		Change		2021		2020		Change
Selected income statement data:
Net interest income (loss)	$	(35)	$	(92)	(62)	%	$	(135)	$	83	**
Non-interest loss	(23)		(26)		(12)		(142)		(77)		84	%
Total net revenue (loss)(1)	(58)		(118)		(51)		(277)		6		**
Provision (benefit) for credit losses	—		(1)		**		(2)		4		**
Non-interest expense(2)	163		340		(52)		232		458		(49)
Loss from continuing operations before income taxes	(221)		(457)		(52)		(507)		(456)		11
Income tax benefit	(101)		(305)		(67)		(291)		(418)		(30)
Loss from continuing operations, net of tax	$	(120)	$	(152)	(21)		$	(216)	$	(38)	**

__________

(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)Includes legal reserve builds of $55 million in the second quarter and first six months of 2021 and $265 million and $310 million in the second quarter and first six months of 2020, respectively.

**    Not meaningful.

Loss from continuing operations decreased by $32 million to a loss of $120 million in the second quarter of 2021, primarily driven by lower legal reserve builds in non-interest expense, as well as a one-time earned fee in net interest income (loss) for unwinding the internal funding related to moving $1.5 billion in commercial loans to held for sale, partially offset by a decrease in income tax benefit due to an improvement in pre-tax loss and the relative impact of the tax credits.

Loss from continuing operations increased by $178 million to a loss of $216 million in the first six months of 2021, primarily driven by the decrease in net interest income (loss) from a decline in market interest rates and reduced funding needs of our business segments, as well as a decrease in income tax benefit due to the relative impact of the tax credits, partially offset by lower legal reserve builds in non-interest expense.

CRITICAL ACCOUNTING POLICIES AND ESTIMATES

The preparation of financial statements in accordance with U.S. GAAP requires management to make a number of judgments, estimates and assumptions that affect the amount of assets, liabilities, income and expenses on the consolidated financial statements. Understanding our accounting policies and the extent to which we use management judgment and estimates in applying these policies is integral to understanding our financial statements. We provide a summary of our significant accounting policies under “Note 1—Summary of Significant Accounting Policies” in our 2020 Form 10-K.

We have identified the following accounting estimates as critical because they require significant judgments and assumptions about highly complex and inherently uncertain matters and the use of reasonably different estimates and assumptions could have a material impact on our results of operations or financial condition. Our critical accounting policies and estimates are as follows:

•Loan loss reserves

•Asset impairment

•Fair value of financial instruments

•Customer rewards reserve

We evaluate our critical accounting estimates and judgments on an ongoing basis and update them as necessary, based on changing conditions. There have been no changes to our critical accounting policies and estimates described in our December 31, 2020 Form 10-K under “MD&A—Critical Accounting Policies and Estimates.”

29 Capital One Financial Corporation (COF)

ACCOUNTING CHANGES AND DEVELOPMENTS

Accounting Standards Issued but Not Adopted as of June 30, 2021

There were no relevant new accounting standards issued but not adopted as of June 30, 2021. See “Note 1—Summary of Significant Accounting Policies” for information on the accounting standards we adopted in 2021.

CAPITAL MANAGEMENT

The level and composition of our capital are determined by multiple factors, including our consolidated regulatory capital requirements as described in more detail below and internal risk-based capital assessments such as internal stress testing and economic capital. The level and composition of our capital may also be influenced by rating agency guidelines, subsidiary capital requirements, business environment, conditions in the financial markets and assessments of potential future losses due to adverse changes in our business and market environments.

Capital Standards and Prompt Corrective Action

The Company and the Banks are subject to the Basel III Capital Rules established by the Board of Governors of the Federal Reserve System (“Federal Reserve”) and the Office of the Comptroller of the Currency (“OCC”) respectively (the “Basel III Capital Rules”). The Basel III Capital Rules implement certain capital requirements published by the Basel Committee on Banking Supervision (“Basel Committee”), along with certain provisions of the Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010 (“Dodd-Frank Act”) and other capital provisions. Moreover, the Banks, as insured depository institutions, are subject to prompt corrective action (“PCA”) capital regulations.

Basel III and United States Capital Rules

Under the Basel III Capital Rules, we must maintain a minimum common equity Tier 1 (“CET1”) capital ratio of 4.5%, a Tier 1 capital ratio of 6.0%, and a total capital ratio of 8.0%, in each case in relation to risk-weighted assets. In addition, we must maintain a minimum leverage ratio of 4.0% and a minimum supplementary leverage ratio of 3.0%. We are also subject to the capital conservation buffer and countercyclical capital buffer requirements, as described below.

In October 2019, the Federal Reserve, OCC and Federal Deposit Insurance Corporation (the “FDIC,” and collectively, the “Federal Banking Agencies”) amended the Basel III Capital Rules to provide for tailored application of certain capital requirements across different categories of banking institutions (the “Tailoring Rules”). These categories are determined primarily by an institution’s asset size, with adjustments to a more stringent category possible if the institution exceeds certain risk-based thresholds. As a bank holding company (“BHC”) with total consolidated assets of at least $250 billion that does not exceed any of the applicable risk-based thresholds, we are a Category III institution under the Tailoring Rules. Therefore, effective January 1, 2020, we are no longer subject to the Basel III “Advanced Approaches” framework and certain associated capital requirements, and we have elected to exclude certain elements of accumulated other comprehensive income (“AOCI”) from our regulatory capital as permitted by the Tailoring Rules. We remain subject to the countercyclical capital buffer requirement (which is currently set at 0%) and supplementary leverage ratio requirement, which were previously required only for Basel III Advanced Approaches institutions.

Global systemically important banks (“G-SIBs”) that are based in the U.S. are subject to an additional CET1 capital requirement known as the G-SIB Surcharge. We are not a G-SIB based on the most recent available data and thus we are not subject to a G-SIB Surcharge.

Stress Capital Buffer Rule

The Basel III Capital Rules require banking institutions to maintain a capital conservation buffer, composed of CET1 capital, above the regulatory minimum ratios. The capital conservation buffer for BHCs was previously fixed at 2.5%. In March 2020, the Federal Reserve issued a final rule to implement the stress capital buffer requirement (the “Stress Capital Buffer Rule”). The stress capital buffer requirement is institution-specific and replaces the fixed 2.5% capital conservation buffer for BHCs.

Pursuant to the Stress Capital Buffer Rule, the Federal Reserve will use the results of its supervisory stress test to determine the size of a BHC’s stress capital buffer requirement. In particular, a BHC’s stress capital buffer requirement will equal, subject to a floor of 2.5%, the sum of (i) the difference between the BHC’s starting CET1 capital ratio and its lowest projected CET1 capital

30 Capital One Financial Corporation (COF)

ratio under the severely adverse scenario of the Federal Reserve’s supervisory stress test plus (ii) the ratio of the BHC’s projected four quarters of common stock dividends (for the fourth to seventh quarters of the planning horizon) to the projected risk-weighted assets for the quarter in which the BHC’s projected CET1 capital ratio reaches its minimum under the supervisory stress test.

Under the Stress Capital Buffer Rule framework, the Company’s new “standardized approach capital conservation buffer” includes its stress capital buffer requirement (which will be recalibrated every year based on the Company’s supervisory stress test results), any G-SIB surcharge (which is not applicable to us) and the countercyclical capital buffer requirement (which is currently set at 0%). Any determination to increase the countercyclical capital buffer generally would be effective twelve months after the announcement of such an increase, unless the Federal Banking Agencies set an earlier effective date.

Based on the Company’s 2020 supervisory stress testing results, the Company’s stress capital buffer requirement is 5.6% for the period from October 1, 2020 through September 30, 2021. Therefore, the Company’s minimum capital requirements plus the standardized approach capital conservation buffer for CET1 capital, Tier 1 capital and total capital ratios under the stress capital buffer framework are 10.1%, 11.6% and 13.6%, respectively, for the period from October 1, 2020 through September 30, 2021.

Based on the Company’s 2021 supervisory stress testing results, the Company’s stress capital buffer requirement for the period beginning on October 1, 2021 through September 30, 2022 is 2.5%. Therefore, the Company’s minimum capital requirements plus the standardized approach capital conservation buffer for CET1 capital, Tier 1 capital and total capital ratios under the stress capital buffer framework are 7.0%, 8.5% and 10.5%, respectively, for the period from October 1, 2021 through September 30, 2022.

The Stress Capital Buffer Rule does not apply to the Banks. The capital conservation buffer for the Banks continues to be fixed at 2.5%. Accordingly, each Bank’s minimum capital requirements plus its capital conservation buffer for CET1 capital, Tier 1 capital and total capital ratios remain at 7.0%, 8.5% and 10.5% respectively.

If we fail to maintain our capital ratios above the minimum capital requirements plus the applicable buffer requirements, we will face increasingly strict automatic limitations on capital distributions and discretionary bonus payments to certain executive officers.

As of June 30, 2021 and December 31, 2020, respectively, each of the Company and the Banks exceeded the minimum capital requirements and the buffer requirements applicable to them, and each of the Banks was “well capitalized” under PCA requirements.

Market Risk Rule

The “Market Risk Rule” supplements the Basel III Capital Rules by requiring institutions subject to the rule to adjust their risk-based capital ratios to reflect the market risk in their trading portfolios. The Market Risk Rule generally applies to institutions with aggregate trading assets and liabilities equal to 10% or more of total assets or $1 billion or more. As of June 30, 2021, the Company and CONA are subject to the Market Risk Rule. See “MD&A—Market Risk Profile” below for additional information.

CECL Transition Rule

The Federal Banking Agencies adopted a final rule (the “2020 CECL Transition Rule”) that provides banking institutions an optional five-year transition period to phase in the impact of the current expected credit loss (“CECL”) standard on their regulatory capital (the “2020 CECL Transition Election”).

Pursuant to the 2020 CECL Transition Rule, a banking institution may elect to delay the estimated impact of adopting CECL on its regulatory capital through December 31, 2021 and then phase in the estimated cumulative impact from January 1, 2022 through December 31, 2024. For the “day 2” ongoing impact of CECL during the initial two years, the Federal Banking Agencies use a uniform “scaling factor” of 25% as an approximation of the increase in the allowance under the CECL standard compared to the prior incurred loss methodology. Accordingly, from January 1, 2020 through December 31, 2021, electing banking institutions are permitted to add back to their regulatory capital an amount equal to the sum of the after-tax “day 1” CECL adoption impact and 25% of the increase in the allowance since the adoption of the CECL standard. Beginning January 1, 2022 through December 31, 2024, the after-tax “day 1” CECL adoption impact and the cumulative “day 2” ongoing impact will be phased in to regulatory capital at 25% per year. The following table summarizes the capital impact delay and phase in period on our regulatory capital from years 2020 to 2025.

31 Capital One Financial Corporation (COF)

	Capital Impact Delayed		Phase In Period
	2020	2021	2022	2023	2024	2025
“Day 1” CECL adoption impact	Capital impact delayed to 2022		25% Phased In	50% Phased In	75% Phased In	Fully Phased In
Cumulative “day 2” ongoing impact	25% scaling factor as an approximation of the increase in allowance under CECL

We adopted the CECL standard (for accounting purposes) as of January 1, 2020, and made the 2020 CECL Transition Election (for regulatory capital purposes) in the first quarter of 2020. Therefore, the applicable amounts presented in this Report reflect such election.

For the description of the regulatory capital rules we are subject to, see “MD&A—Supervision and Regulation” in this Report as well as “Part I—Item 1. Business—Supervision and Regulation” in our 2020 Form 10-K.

Table 14 provides a comparison of our regulatory capital ratios under the Basel III Standardized Approach, the regulatory minimum capital adequacy ratios and the PCA well-capitalized level for each ratio, where applicable, as of June 30, 2021 and December 31, 2020.

Table 14: Capital Ratios Under Basel III(1)(2)

	June 30, 2021						December 31, 2020
	Ratio		Minimum Capital Adequacy		Well- Capitalized		Ratio		Minimum Capital Adequacy		Well- Capitalized
Capital One Financial Corp:
Common equity Tier 1 capital(3)	14.5	%	4.5	%	N/A		13.7	%	4.5	%	N/A
Tier 1 capital(4)	16.6		6.0		6.0	%	15.3		6.0		6.0	%
Total capital(5)	18.8		8.0		10.0		17.7		8.0		10.0
Tier 1 leverage(6)	12.4		4.0		N/A		11.2		4.0		N/A
Supplementary leverage(7)(8)	10.7		3.0		N/A		10.7		3.0		N/A
COBNA:
Common equity Tier 1 capital(3)	20.2		4.5		6.5		21.5		4.5		6.5
Tier 1 capital(4)	20.2		6.0		8.0		21.5		6.0		8.0
Total capital(5)	21.8		8.0		10.0		23.4		8.0		10.0
Tier 1 leverage(6)	18.0		4.0		5.0		18.3		4.0		5.0
Supplementary leverage(7)	14.3		3.0		N/A		14.7		3.0		N/A
CONA:
Common equity Tier 1 capital(3)	12.6		4.5		6.5		12.4		4.5		6.5
Tier 1 capital(4)	12.6		6.0		8.0		12.4		6.0		8.0
Total capital(5)	13.8		8.0		10.0		13.7		8.0		10.0
Tier 1 leverage(6)	7.9		4.0		5.0		7.6		4.0		5.0
Supplementary leverage(7)	7.1		3.0		N/A		6.9		3.0		N/A

__________

(1)Capital requirements that are not applicable are denoted by “N/A.”

(2)Ratios as of June 30, 2021 are preliminary. As we continue to validate our data, the calculations are subject to change until we file our June 30, 2021 Form FR Y-9C—Consolidated Financial Statements for Holding Companies and Call Reports.

(3)Common equity Tier 1 capital ratio is a regulatory capital measure calculated based on common equity Tier 1 capital divided by risk-weighted assets.

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

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

(6)Tier 1 leverage ratio is a regulatory capital measure calculated based on Tier 1 capital divided by adjusted average assets.

(7)Supplementary leverage ratio is a regulatory capital measure calculated based on Tier 1 capital divided by total leverage exposure.

32 Capital One Financial Corporation (COF)

(8)The Company’s supplementary leverage ratio as of December 31, 2020 reflected the temporary exclusions of U.S Treasury securities and deposits at Federal Reserve Banks from the denominator of the supplementary leverage ratio. See “Part I—Item 1. Business—Supervision and Regulation—Capital and Liquidity Regulation” in our 2020 Form 10-K for additional details.

Table 15 presents regulatory capital under the Basel III Standardized Approach and regulatory capital metrics as of June 30, 2021 and December 31, 2020.

Table 15: Regulatory Risk-Based Capital Components and Regulatory Capital Metrics

(Dollars in millions)	June 30, 2021		December 31, 2020
Regulatory Capital Under Basel III Standardized Approach
Common equity excluding AOCI	$	58,969	$	55,299
Adjustments:
AOCI, net of tax(1)	(5)		(29)
Goodwill, net of related deferred tax liabilities	(14,440)		(14,448)
Intangible assets, net of related deferred tax liabilities	(76)		(86)
Other(2)	(16)		—
Common equity Tier 1 capital	44,432		40,736
Tier 1 capital instruments	6,488		4,847
Tier 1 capital	50,920		45,583
Tier 2 capital instruments	3,106		3,385
Qualifying allowance for credit losses	3,906		3,820
Tier 2 capital	7,012		7,205
Total capital	$	57,932	$	52,788
Regulatory Capital Metrics
Risk-weighted assets	$	307,334	$	297,903
Adjusted average assets	411,032		406,762
Total leverage exposure	477,932		427,522

__________

(1)Excludes certain components of AOCI as permitted under the Tailoring Rules.

(2)Includes deferred tax assets deducted from regulatory capital.

Capital Planning and Regulatory Stress Testing

On June 24, 2021, the Federal Reserve released the results of its supervisory stress tests for the 2021 cycle. Based on the results, all participating BHCs, including the Company, remained above their risk-based minimum capital requirements in the hypothetical stress scenario. Accordingly, as laid out previously by the Federal Reserve, the temporary capital distribution restrictions put in place in the third quarter of 2020 following the outbreak of COVID-19 ended for all participating BHCs, including the Company, after the second quarter of 2021. All participating BHCs, including the Company, remain subject to the normal capital distribution restrictions of the stress capital buffer framework.

On January 25, 2021, our Board of Directors authorized the repurchase of up to $7.5 billion of shares of our common stock. We repurchased approximately $1.7 billion of shares of our common stock during the second quarter of 2021 and $2.2 billion during the first six months of 2021, consistent with the Federal Reserve’s temporary capital distribution restrictions in place during the first six months of 2021. On July 28, 2021, our Board of Directors authorized a special dividend of $0.60 per share of common stock payable in the third quarter of 2021. In addition to the special dividend, the Board of Directors authorized an increase to our quarterly common stock dividend from $0.40 per share to $0.60 per share beginning with our dividend payable in the third quarter of 2021.

For the description of the regulatory capital planning rules we are subject to, see “MD&A—Supervision and Regulation” in this Report as well as “Part I—Item 1. Business—Supervision and Regulation” in our 2020 Form 10-K.

33 Capital One Financial Corporation (COF)

Equity Offerings and Transactions

On May 4, 2021, we issued 27,000,000 depositary shares, each representing a 1/40th interest in a share of Fixed Rate Non-Cumulative Perpetual Preferred Stock, Series L, $0.01 par value, with a liquidation preference of $25 per depositary share (“Series L Preferred Stock”). The net proceeds of the offering of Series L Preferred Stock were approximately $652.9 million after deducting underwriting commissions and offering expenses. Dividends on the Series L Preferred Stock are payable quarterly in arrears at a rate of 4.375% per annum.

On June 10, 2021, we issued 1,000,000 shares of Fixed Rate Reset Non-Cumulative Perpetual Preferred Stock, Series M, $0.01 par value, with a liquidation preference of $1,000 per share (the “Series M Preferred Stock”). The net proceeds of the offering of Series M Preferred Stock were approximately $988.2 million, after deducting underwriting commissions and offering expenses. Dividends on the Series M Preferred Stock are payable quarterly in arrears at a rate of 3.950% per annum through August 31, 2026. Effective September 1, 2026, and at every subsequent five-year anniversary, the dividend rate resets to the 5-Year Treasury Rate plus 3.157% per annum.

On July 29, 2021, we issued 17,000,000 depositary shares, each representing a 1/40th interest in a share of Fixed Rate Non-Cumulative Perpetual Preferred Stock, Series N, $0.01 par value, with a liquidation preference of $25 per depositary share (“Series N Preferred Stock”). The net proceeds of the offering of Series N Preferred Stock were approximately $411.8 million after deducting underwriting commissions and offering expenses. Dividends on the Series N Preferred Stock are payable quarterly in arrears at a rate of 4.25% per annum.

On July 29, 2021, we announced that we will redeem all outstanding shares of our Fixed-to-Floating Rate Non-Cumulative Perpetual Preferred Stock, Series E, $0.01 par value per share on September 1, 2021. We expect this redemption will reduce net income available to common shareholders by approximately $12 million in the third quarter of 2021.

34 Capital One Financial Corporation (COF)

Dividend Policy and Stock Purchases

In the first six months of 2021, we declared and paid common stock dividends of $367 million, or $0.80 per share, and preferred stock dividends of $121 million. The following table summarizes the dividends paid per share on our various preferred stock series in the first six months of 2021.

Table 16: Preferred Stock Dividends Paid Per Share

Series	Description	Issuance Date	Per Annum Dividend Rate	Dividend Frequency	2021
					Q2	Q1
Series E	Fixed-to-Floating Rate Non-Cumulative	May 14, 2015	5.550% through 5/31/2020; 3-mo. LIBOR + 380 bps thereafter	Semi-Annually through 5/31/2020; Quarterly thereafter	$10.20	$10.06
Series G	5.200% Non-Cumulative	July 29, 2016	5.200%	Quarterly	13.00	13.00
Series H	6.000% Non-Cumulative	November 29, 2016	6.000	Quarterly	15.00	15.00
Series I	5.000% Non-Cumulative	September 11, 2019	5.000	Quarterly	12.50	12.50
Series J	4.800% Non-Cumulative	January 31, 2020	4.800	Quarterly	12.00	12.00
Series K	4.625% Non-Cumulative	September 17, 2020	4.625	Quarterly	11.56	11.56
Series L	4.375% Non-Cumulative	May 4, 2021	4.375	Quarterly	—	—
Series M	3.950% Fixed Rate Reset Non-Cumulative	June 10, 2021	3.950% through 8/31/2026; resets 9/1/2026 and every subsequent 5 year anniversary at 5-Year Treasury +3.157%	Quarterly	—	—

The declaration and payment of dividends to our stockholders, as well as the amount thereof, are subject to the discretion of our Board of Directors and depend upon our results of operations, financial condition, capital levels, cash requirements, future prospects, regulatory requirements and other factors deemed relevant by the Board of Directors. As a BHC, our ability to pay dividends is largely dependent upon the receipt of dividends or other payments from our subsidiaries. The Banks are subject to regulatory restrictions that limit their ability to transfer funds to our BHC. As of June 30, 2021, funds available for dividend payments from COBNA and CONA were $2.1 billion and $1.5 billion, respectively. There can be no assurance that we will declare and pay any dividends to stockholders.

On January 25, 2021, our Board of Directors authorized the repurchase of up to $7.5 billion of shares of our common stock. We repurchased approximately $1.7 billion of shares of our common stock during the second quarter of 2021 and $2.2 billion during the first six months of 2021, consistent with the Federal Reserve’s temporary capital distribution restrictions in place during the first six months of 2021.

The timing and exact amount of any future common stock repurchases will depend on various factors, including regulatory approval, market conditions, opportunities for growth, our capital position and the amount of retained earnings. Our stock repurchase program does not include specific price targets, may be executed through open market purchases or privately negotiated transactions, including utilizing Rule 10b5-1 programs, and may be suspended at any time. For additional information on dividends and stock repurchases, see “MD&A—Capital Management—Capital Planning and Regulatory Stress Testing” and “Part I—Item 1. Business—Supervision and Regulation—Dividends, Stock Repurchases and Transfers of Funds”in our 2020 Form 10-K.

35 Capital One Financial Corporation (COF)

RISK MANAGEMENT

Risk Management Framework

Our Risk Management Framework (the “Framework”) sets consistent expectations for risk management across the Company. It also sets expectations for our “Three Lines of Defense” model, which defines the roles, responsibilities and accountabilities for taking and managing risk across the Company. Accountability for overseeing an effective Framework resides with our Board of Directors either directly or through its committees.

The “First Line of Defense” consists of any line of business or function that is accountable for risk taking and is responsible for: (i) engaging in activities designed to generate revenue or reduce expenses; (ii) providing operational support or servicing to any business function for the delivery of products or services to customers; or (iii) providing technology services in direct support of first line business areas. Each line of business or first line function is responsible for managing the risks associated with their activities, including identifying, assessing, measuring, monitoring, controlling and reporting the risks within its business activities, consistent with the risk framework. The “Second Line of Defense” consists of two types of functions: Independent Risk Management (“IRM”) and Support Functions. IRM oversees risk-taking activities and assesses risks and issues independent from the first line of defense. Support Functions are centers of specialized expertise (e.g., Human Resources, Accounting, Legal) that provide support services to the Company. The “Third Line of Defense” is comprised of the Internal Audit and Credit Review functions. The third line provides independent and objective assurance to senior management and to the Board of Directors that the first and second lines of defense have systems and governance processes which are well-designed and working as intended, and that the Framework is appropriate for our size, complexity and risk profile.

Our Framework consists of the following nine elements:

Governance and Accountability
Strategy and Risk Alignment
Risk Identification	Assessment, Measurement and Response	Monitoring and Testing	Aggregation, Reporting and Escalation
Capital and Liquidity Management (including Stress Testing)
Risk Data and Enabling Technology
Culture and Talent Management

36 Capital One Financial Corporation (COF)

We provide additional discussion of our risk management principles, roles and responsibilities, framework and risk appetite under “MD&A—Risk Management” in our 2020 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 “MD&A—Risk Management” in our 2020 Form 10-K.

•Compliance risk

•Credit risk

•Liquidity risk

•Market risk

•Operational risk

•Reputation risk

•Strategic risk

CREDIT RISK PROFILE

Our loan portfolio accounts for the substantial majority of our credit risk exposure. Our lending activities are governed under our credit policy 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 “MD&A—Consolidated Balance Sheets Analysis—Investment Securities” and credit risk related to derivative transactions in “Note 8—Derivative Instruments and Hedging Activities.”

37 Capital One Financial Corporation (COF)

Portfolio Composition and Maturity Profile of Loans Held for Investment

We provide a variety of lending products. Our primary products include credit cards, auto loans and commercial lending products. For information on our lending policies and procedures, including our underwriting criteria for our primary loan products, see “MD&A—Credit Risk Profile” in our 2020 Form 10-K.

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 $6.5 billion and $2.7 billion as of June 30, 2021 and December 31, 2020, respectively.

Table 17 presents the composition of our portfolio of loans held for investment by portfolio segment as of June 30, 2021 and December 31, 2020.

Table 17: Portfolio Composition of Loans Held for Investment

	June 30, 2021				December 31, 2020
(Dollars in millions)	Loans		% of Total		Loans		% of Total
Credit Card:
Domestic credit card	$	95,309	38.2	%	$	98,504	39.1	%
International card businesses	5,708		2.3		8,452		3.4
Total credit card	101,017		40.5		106,956		42.5
Consumer Banking:
Auto	71,713		28.7		65,762		26.2
Retail banking(1)	3,046		1.2		3,126		1.2
Total consumer banking	74,759		29.9		68,888		27.4
Commercial Banking:(1)
Commercial and multifamily real estate	29,616		11.9		30,681		12.2
Commercial and industrial	44,205		17.7		45,099		17.9
Total commercial banking	73,821		29.6		75,780		30.1
Total loans held for investment	$	249,597	100.0	%	$	251,624	100.0	%

__________

(1)Includes Paycheck Protection Program (“PPP”) loans of $1.1 billion and $296 million in our retail and commercial loan portfolios, respectively, as of June 30, 2021 and $919 million and $238 million as of December 31, 2020, respectively.

38 Capital One Financial Corporation (COF)

Geographic Composition

We market our credit card products throughout the United States, Canada and the United Kingdom. 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 June 30, 2021 and December 31, 2020.

Table 18: Credit Card Portfolio by Geographic Region

	June 30, 2021				December 31, 2020
(Dollars in millions)	Amount		% of Total		Amount		% of Total
Domestic credit card:
California	$	9,698	9.6	%	$	9,943	9.3	%
Texas	7,899		7.8		8,090		7.6
Florida	6,650		6.6		6,910		6.5
New York	6,106		6.0		6,327		5.9
Pennsylvania	3,990		3.9		4,158		3.9
Illinois	3,967		3.9		4,149		3.9
Ohio	3,456		3.4		3,645		3.4
New Jersey	3,082		3.1		3,179		3.0
Georgia	2,944		2.9		3,046		2.8
Michigan	2,894		2.9		3,010		2.8
Other	44,623		44.2		46,047		43.0
Total domestic credit card	95,309		94.3		98,504		92.1
International card businesses:
Canada	2,975		3.0		5,728		5.4
United Kingdom	2,733		2.7		2,724		2.5
Total international card businesses	5,708		5.7		8,452		7.9
Total credit card	$	101,017	100.0	%	$	106,956	100.0	%

39 Capital One Financial Corporation (COF)

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 network. The table below presents the geographic profile of our auto loan and retail banking portfolios as of June 30, 2021 and December 31, 2020.

Table 19: Consumer Banking Portfolio by Geographic Region

	June 30, 2021				December 31, 2020
(Dollars in millions)	Amount		% of Total		Amount		% of Total
Auto:
Texas	$	8,835	11.8	%	$	8,207	11.9	%
California	8,432		11.3		7,573		11.0
Florida	6,105		8.2		5,544		8.1
Georgia	3,196		4.3		2,989		4.3
Ohio	2,956		4.0		2,770		4.0
Pennsylvania	2,871		3.8		2,569		3.7
Illinois	2,694		3.6		2,431		3.5
North Carolina	2,453		3.3		2,280		3.3
Other	34,171		45.6		31,399		45.7
Total auto	71,713		95.9		65,762		95.5
Retail banking:
New York	1,103		1.5		1,081		1.6
Louisiana	565		0.8		634		0.9
Texas	540		0.7		576		0.8
Maryland	232		0.3		224		0.3
New Jersey	212		0.3		222		0.3
Virginia	172		0.2		179		0.3
Other	222		0.3		210		0.3
Total retail banking	3,046		4.1		3,126		4.5
Total consumer banking	$	74,759	100.0	%	$	68,888	100.0	%

40 Capital One Financial Corporation (COF)

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 of June 30, 2021 and December 31, 2020.

Table 20: Commercial Real Estate Portfolio by Region

	June 30, 2021				December 31, 2020
(Dollars in millions)	Amount		% of Total		Amount		% of Total
Geographic concentration:(1)
Northeast	$	15,334	51.78	%	$	17,290	56.35	%
South	4,138		13.97		3,806		12.40
Pacific West	3,657		12.35		3,424		11.16
Mid-Atlantic	3,569		12.05		3,344		10.90
Midwest	2,067		6.98		1,993		6.50
Mountain	851		2.87		824		2.69
Total	$	29,616	100.00	%	$	30,681	100.00	%

__________

(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, 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, NB, ND, OH, SD and WS. Mountain consists of: AZ, CO, ID, MT, NM, NV, UT and WY.

Commercial Loans by Industry

Table 21 summarizes our commercial loans held for investment portfolio by industry classification as of June 30, 2021 and December 31, 2020. Industry classifications below are based on our interpretation of the North American Industry Classification System codes as they pertain to each individual loan.

Table 21: Commercial Loans by Industry

(Percentage of portfolio)	June 30, 2021		December 31, 2020
Industry Classification:
Real estate	38	%	39	%
Finance	20		17
Healthcare	10		11
Business services	6		6
Educational services	5		5
Public administration	4		4
Construction and land	3		3
Retail trade	3		3
Oil and gas	2		3
Other	9		9
Total	100	%	100	%

41 Capital One Financial Corporation (COF)

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 22 provides details on the credit scores of our domestic credit card and auto loan portfolios as of June 30, 2021 and December 31, 2020.

Table 22: Credit Score Distribution

(Percentage of portfolio)	June 30, 2021		December 31, 2020
Domestic credit card—Refreshed FICO scores:(1)
Greater than 660	72	%	69	%
660 or below	28		31
Total	100	%	100	%
Auto—At origination FICO scores:(2)
Greater than 660	48	%	46	%
621 - 660	20		20
620 or below	32		34
Total	100	%	100	%

__________

(1)Percentages represent period-end loans held for investment in each credit score category. Domestic card credit scores generally represent 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.

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 “Note 3—Loans” for additional credit quality information and see “Note 1—Summary of Significant Accounting Policies” for information on our accounting policies for delinquent and nonperforming loans, charge-offs and troubled debt restructurings (“TDRs”) for each of our loan categories.

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 “Note 1—Summary of Significant Accounting Policies” in our 2020 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 “MD&A—Business Segment Financial Performance.”

42 Capital One Financial Corporation (COF)

Table 23 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 June 30, 2021 and December 31, 2020.

Table 23: 30+ Day Delinquencies

	June 30, 2021								December 31, 2020
	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	$	1,598	1.68	%	$	1,598	1.68	%	$	2,388	2.42	%	$	2,388	2.42	%
International card businesses	165		2.89		172		3.01		221		2.61		234		2.77
Total credit card	1,763		1.75		1,770		1.75		2,609		2.44		2,622		2.45
Consumer Banking:
Auto	2,336		3.26		2,491		3.47		3,140		4.78		3,381		5.14
Retail banking	24		0.79		47		1.56		41		1.32		62		1.99
Total consumer banking	2,360		3.16		2,538		3.40		3,181		4.62		3,443		5.00
Commercial Banking:
Commercial and multifamily real estate	11		0.04		140		0.47		202		0.66		341		1.11
Commercial and industrial	223		0.51		281		0.64		84		0.19		158		0.35
Total commercial banking	234		0.32		421		0.57		286		0.38		499		0.66
Total	$	4,357	1.75		$	4,729	1.89		$	6,076	2.41		$	6,564	2.61

__________

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

Table 24 presents our 30+ day delinquent loans, by aging and geography, as of June 30, 2021 and December 31, 2020.

Table 24: Aging and Geography of 30+ Day Delinquent Loans

	June 30, 2021				December 31, 2020
(Dollars in millions)	Amount		Rate(1)		Amount		Rate(1)
Delinquency status:
30 – 59 days	$	2,535	1.01	%	$	3,330	1.32	%
60 – 89 days	1,055		0.42		1,485		0.59
> 90 days	1,139		0.46		1,749		0.70
Total	$	4,729	1.89	%	$	6,564	2.61	%
Geographic region:
Domestic	$	4,557	1.82	%	$	6,330	2.52	%
International	172		0.07		234		0.09
Total	$	4,729	1.89	%	$	6,564	2.61	%

__________

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

43 Capital One Financial Corporation (COF)

Table 25 summarizes loans that were 90+ days delinquent as to interest or principal, and still accruing interest as of June 30, 2021 and December 31, 2020. These loans consist primarily of credit card accounts between 90 days and 179 days past due. As permitted by regulatory guidance issued by the Federal Financial Institutions Examination Council, 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 25: 90+ Day Delinquent Loans Accruing Interest

	June 30, 2021				December 31, 2020
(Dollars in millions)	Amount		Rate(1)		Amount		Rate(1)
Loan category:
Credit card	$	821	0.81	%	$	1,251	1.17	%
Commercial banking	2		—		51		0.07
Total	$	823	0.33		$	1,302	0.52
Geographic region:
Domestic	$	758	0.31	%	$	1,220	0.50	%
International	65		1.14		82		0.97
Total	$	823	0.33		$	1,302	0.52

__________

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

Nonperforming Loans and Nonperforming Assets

Nonperforming assets consist of nonperforming loans, repossessed assets and other foreclosed assets. Nonperforming loans include loans that have been placed on nonaccrual status. See “Note 1—Summary of Significant Accounting Policies” in our 2020 Form 10-K for information on our policies for classifying loans as nonperforming for each of our loan categories.

Table 26 presents our nonperforming loans, by portfolio segment, and other nonperforming assets as of June 30, 2021 and December 31, 2020. We do not classify loans held for sale as nonperforming. We provide additional information on our credit quality metrics in “MD&A—Business Segment Financial Performance.”

Table 26: Nonperforming Loans and Other Nonperforming Assets(1)

	June 30, 2021				December 31, 2020
(Dollars in millions)	Amount		Rate		Amount		Rate
Nonperforming loans held for investment:(2)
Credit Card:
International card businesses	$	12	0.20	%	$	21	0.24	%
Total credit card	12		0.01		21		0.02
Consumer Banking:
Auto	209		0.29		294		0.45
Retail banking	53		1.75		30		0.96
Total consumer banking	262		0.35		324		0.47
Commercial Banking:
Commercial and multifamily real estate	301		1.02		200		0.65
Commercial and industrial	458		1.03		450		1.00
Total commercial banking	759		1.03		650		0.86
Total nonperforming loans held for investment(3)	$	1,033	0.41		$	995	0.40
Other nonperforming assets(4)	35		0.02		45		0.01
Total nonperforming assets	$	1,068	0.43		$	1,040	0.41

__________

44 Capital One Financial Corporation (COF)

(1)We recognized interest income for loans classified as nonperforming of $8 million and $11 million in the first six months of 2021 and 2020, respectively. Interest income foregone related to nonperforming loans was $30 million and $35 million in the first six months of 2021 and 2020, respectively. Foregone interest income represents the amount of interest income in excess of recognized interest income that would have been recorded during the period for nonperforming loans as of the end of the period had the loans performed according to their contractual terms.

(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 0.67% and 0.65% as of June 30, 2021 and December 31, 2020, respectively.

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

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 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 “Note 1—Summary of Significant Accounting Policies” in our 2020 Form 10-K for information on our charge-off policy for each of our loan categories.

Table 27 presents our net charge-off amounts and rates, by portfolio segment, in the second quarter and first six months of 2021 and 2020.

Table 27: Net Charge-Offs (Recoveries)

	Three Months Ended June 30,								Six Months Ended June 30,
	2021				2020				2021				2020
(Dollars in millions)	Amount		Rate(1)		Amount		Rate(1)		Amount		Rate(1)		Amount		Rate(1)
Credit Card:
Domestic credit card	$	522	2.28	%	$	1,143	4.53	%	$	1,109	2.41	%	$	2,474	4.61	%
International card businesses	49		2.41		68		3.47		95		2.36		173		4.11
Total credit card	571		2.29		1,211		4.46		1,204		2.41		2,647		4.57
Consumer Banking:
Auto	(22)		(0.12)		179		1.16		56		0.17		409		1.33
Retail banking	11		1.41		13		1.78		24		1.54		29		2.05
Total consumer banking	(11)		(0.06)		192		1.19		80		0.23		438		1.36
Commercial Banking:
Commercial and multifamily real estate	4		0.04		7		0.09		8		0.05		7		0.04
Commercial and industrial	(23)		(0.21)		95		0.78		(11)		(0.05)		204		0.87
Total commercial banking	(19)		(0.11)		102		0.51		(3)		(0.01)		211		0.54
Total net charge-offs	$	541	0.88		$	1,505	2.38		$	1,281	1.04		$	3,296	2.55
Average loans held for investment	$	246,463			$	253,358			$	245,207			$	258,124

__________

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

45 Capital One Financial Corporation (COF)

Troubled Debt Restructurings

As part of our loss mitigation efforts, we may provide short-term (three 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.

Guidance issued by the Federal Banking Agencies and contained in the Coronavirus Aid, Relief, and Economic Security Act (the “CARES Act”) provides banking organizations with TDR relief for loan modifications to current borrowers impacted by the COVID-19 pandemic. The majority of enrollments in our COVID-19 programs through June 30, 2021 would generally not have resulted in TDR classification under our existing policies as the concession granted was insignificant. We consider the impact of all loan modifications, including those classified as TDRs and those offered in response to the COVID-19 pandemic, when estimating the credit quality of our loan portfolio and establishing allowance levels.

Table 28 presents our amortized cost of loans modified in TDRs as of June 30, 2021 and December 31, 2020, which excludes loan modifications that do not meet the definition of a TDR and loans that received relief under the guidance issued by the Federal Banking Agencies and contained in the CARES Act in response to the COVID-19 pandemic.

Table 28: Troubled Debt Restructurings

	June 30, 2021				December 31, 2020
(Dollars in millions)	Amount		% of Total Modifications		Amount		% of Total Modifications
Credit Card:
Domestic credit card	$	441	24.1	%	$	511	24.5	%
International card businesses	188		10.3		217		10.4
Total credit card	629		34.4		728		34.9
Consumer banking:
Auto	605		33.1		615		29.5
Retail banking	13		0.7		18		0.9
Total consumer banking	618		33.8		633		30.4
Commercial banking	581		31.8		723		34.7
Total	$	1,828	100.0	%	$	2,084	100.0	%
Status of TDRs:
Performing	$	1,421	77.7	%	$	1,718	82.4	%
Nonperforming	407		22.3		366		17.6
Total	$	1,828	100.0	%	$	2,084	100.0	%

In our Credit Card business, the majority of our credit card loans modified in TDRs involve reducing the interest rate on the account and placing the customer on a fixed payment plan not exceeding 60 months. The effective interest rate in effect immediately prior to the loan modification is used as the effective interest rate for purposes of measuring impairment using the present value of expected cash flows. 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 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 loans modified in TDRs receive an extension, an interest rate reduction or principal reduction, or a combination of these concessions. In addition, TDRs also occur in connection with bankruptcy of the borrower. In certain bankruptcy discharges, the loan is written down to the collateral value and the charged off amount is reported as principal reduction. Impairment is determined using the present value of expected cash flows or a collateral evaluation for certain auto loans where the collateral value is lower than the amortized cost.

In our Commercial Banking business, the majority of loans modified in TDRs receive an extension, with a portion of these loans receiving an interest rate reduction or a gross balance reduction. The impairment on modified commercial loans is generally determined based on the underlying collateral value.

We provide additional information on modified loans accounted for as TDRs, including the performance of those loans

46 Capital One Financial Corporation (COF)

subsequent to modification, in “Note 3—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 “Note 1—Summary of Significant Accounting Policies” in our 2020 Form 10-K.

Table 29 presents changes in our allowance for credit losses and reserve for unfunded lending commitments for the second quarter and first six months of 2021 and 2020, and details by portfolio segment for the provision for credit losses, charge-offs and recoveries.

Table 29: Allowance for Credit Losses and Reserve for Unfunded Lending Commitments Activity

	Three Months Ended June 30, 2021
	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 March 31, 2021	$	9,572	$	500	$	10,072	$	2,405	$	93	$	2,498	$	1,447	$	14,017
Charge-offs	(874)		(93)		(967)		(245)		(15)		(260)		(8)		(1,235)
Recoveries(1)	352		44		396		267		4		271		27		694
Net recoveries (charge-offs)	(522)		(49)		(571)		22		(11)		11		19		(541)
Provision (benefit) for credit losses	(561)		(74)		(635)		(305)		(1)		(306)		(196)		(1,137)
Allowance build (release) for credit losses	(1,083)		(123)		(1,206)		(283)		(12)		(295)		(177)		(1,678)
Other changes(2)	—		7		7		—		—		—		—		7
Balance as of June 30, 2021	8,489		384		8,873		2,122		81		2,203		1,270		12,346
Reserve for unfunded lending commitments:
Balance as of March 31, 2021	—		—		—		—		—		—		187		187
Provision (benefit) for losses on unfunded lending commitments	—		—		—		—		—		—		(23)		(23)
Balance as of June 30, 2021	—		—		—		—		—		—		164		164
Combined allowance and reserve as of June 30, 2021	$	8,489	$	384	$	8,873	$	2,122	$	81	$	2,203	$	1,434	$	12,510

47 Capital One Financial Corporation (COF)

	Six Months Ended June 30, 2021
	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, 2020	$	10,650	$	541	$	11,191	$	2,615	$	100	$	2,715	$	1,658	$	15,564
Charge-offs	(1,778)		(182)		(1,960)		(569)		(33)		(602)		(27)		(2,589)
Recoveries(1)	669		87		756		513		9		522		30		1,308
Net recoveries (charge-offs)	(1,109)		(95)		(1,204)		(56)		(24)		(80)		3		(1,281)
Provision (benefit) for credit losses	(1,052)		(75)		(1,127)		(437)		5		(432)		(391)		(1,950)
Allowance build (release) for credit losses	(2,161)		(170)		(2,331)		(493)		(19)		(512)		(388)		(3,231)
Other changes(2)	—		13		13		—		—		—		—		13
Balance as of June 30, 2021	8,489		384		8,873		2,122		81		2,203		1,270		12,346
Reserve for unfunded lending commitments:
Balance as of December 31, 2020	—		—		—		—		—		—		195		195
Provision (benefit) for losses on unfunded lending commitments	—		—		—		—		—		—		(31)		(31)
Balance as of June 30, 2021	—		—		—		—		—		—		164		164
Combined allowance and reserve as of June 30, 2021	$	8,489	$	384	$	8,873	$	2,122	$	81	$	2,203	$	1,434	$	12,510

	Three Months Ended June 30, 2020
	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 March 31, 2020	$	9,806	$	540	$	10,346	$	2,058	$	96	$	2,154	$	1,573	$	14,073
Charge-offs	(1,493)		(119)		(1,612)		(399)		(17)		(416)		(103)		(2,131)
Recoveries(1)	350		51		401		220		4		224		1		626
Net charge-offs	(1,143)		(68)		(1,211)		(179)		(13)		(192)		(102)		(1,505)
Provision (benefit) for credit losses	2,906		38		2,944		847		29		876		432		4,252
Allowance build (release) for credit losses	1,763		(30)		1,733		668		16		684		330		2,747
Other changes(2)	—		12		12		—		—		—		—		12
Balance as of June 30, 2020	11,569		522		12,091		2,726		112		2,838		1,903		16,832
Reserve for unfunded lending commitments:
Balance as of March 31, 2020	—		—		—		—		—		—		223		223
Provision (benefit) for losses on unfunded lending commitments	—		—		—		—		—		—		(5)		(5)
Balance as of June 30, 2020	—		—		—		—		—		—		218		218
Combined allowance and reserve as of June 30, 2020	$	11,569	$	522	$	12,091	$	2,726	$	112	$	2,838	$	2,121	$	17,050

48 Capital One Financial Corporation (COF)

	Six Months Ended June 30, 2020
	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, 2019	$	4,997	$	398	$	5,395	$	984	$	54	$	1,038	$	775	$	7,208
Cumulative effects from adoption of the CECL standard	2,237		4		2,241		477		25		502		102		2,845
Finance charge and fee reserve reclassification(3)	439		23		462		—		—		—		—		462
Balance as of January 1, 2020	7,673		425		8,098		1,461		79		1,540		877		10,515
Charge-offs	(3,208)		(253)		(3,461)		(875)		(37)		(912)		(215)		(4,588)
Recoveries(1)	734		80		814		466		8		474		4		1,292
Net charge-offs	(2,474)		(173)		(2,647)		(409)		(29)		(438)		(211)		(3,296)
Provision (benefit) for credit losses	6,370		276		6,646		1,674		62		1,736		1,237		9,619
Allowance build (release) for credit losses	3,896		103		3,999		1,265		33		1,298		1,026		6,323
Other changes(2)	—		(6)		(6)		—		—		—		—		(6)
Balance as of June 30, 2020	11,569		522		12,091		2,726		112		2,838		1,903		16,832
Reserve for unfunded lending commitments:
Balance as of December 31, 2019	—		—		—		—		5		5		130		135
Cumulative effects from adoption of the CECL standard	—		—		—		—		(5)		(5)		42		37
Balance as of January 1, 2020	—		—		—		—		—		—		172		172
Provision (benefit) for losses on unfunded lending commitments	—		—		—		—		—		—		46		46
Balance as of June 30, 2020	—		—		—		—		—		—		218		218
Combined allowance and reserve as of June 30, 2020	$	11,569	$	522	$	12,091	$	2,726	$	112	$	2,838	$	2,121	$	17,050

__________

(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)Represents foreign currency translation adjustments.

(3)Concurrent with our adoption of the CECL standard in the first quarter of 2020, we reclassified our finance charge and fee reserve to our allowance for credit losses, with a corresponding increase to credit card loans held for investment.

Allowance coverage ratios are calculated based on the allowance for credit losses for each specified portfolio segment divided by period-end loans held for investment within the specified loan category, as defined below. Table 30 presents the allowance coverage ratios as of June 30, 2021 and December 31, 2020.

Table 30: Allowance Coverage Ratios for Specified Loan Category

	June 30, 2021						December 31, 2020
(Dollars in millions)	Allowance for Credit Losses		Amount(1)		Allowance Coverage Ratio		Allowance for Credit Losses		Amount(1)		Allowance Coverage Ratio
Credit Card	$	8,873	$	1,770	501.32	%	$	11,191	$	2,622	426.80	%
Consumer Banking	2,203		2,538		86.80		2,715		3,443		78.85
Commercial Banking	1,270		759		167.41		1,658		650		254.97
Total	$	12,346	249,597		4.95		$	15,564	251,624		6.19

__________

(1)Represents period-end 30+ day delinquent loans for our credit card and consumer banking loan portfolios, nonperforming loans for our commercial banking loan portfolio and total loans held for investment for the total ratio.

Our allowance for credit losses decreased by $3.2 billion to $12.3 billion, and our allowance coverage ratio decreased by 124 basis points to 4.95% as of June 30, 2021 from December 31, 2020, driven by strong credit performance and an improved economic outlook.

49 Capital One Financial Corporation (COF)

LIQUIDITY RISK PROFILE

We have established liquidity practices that are intended to ensure that we have sufficient asset-based liquidity to cover our funding requirements and maintain adequate reserves to withstand the potential impact of deposit attrition or diminished liquidity in the funding markets. In addition to our cash and cash equivalents, we maintain reserves in the form of investment securities and certain loans that are either readily-marketable or pledgeable.

Table 31 below presents the composition of our liquidity reserves as of June 30, 2021 and December 31, 2020.

Table 31: Liquidity Reserves

(Dollars in millions)	June 30, 2021		December 31, 2020
Cash and cash equivalents	$	34,846	$	40,509
Investment securities available for sale, at fair value	101,766		100,445
FHLB borrowing capacity secured by loans	8,403		10,162
Outstanding FHLB advances and letters of credit secured by loans	(41)		(72)
Investment securities encumbered for Public Funds and others	(8,016)		(7,052)
Total liquidity reserves	$	136,958	$	143,992

Our liquidity reserves decreased by $7.0 billion to $137.0 billion as of June 30, 2021 from December 31, 2020 primarily driven by a decrease in cash and cash equivalents. See “MD&A—Risk Management” in our 2020 Form 10-K for additional information on our management of liquidity risk.

Liquidity Coverage Ratio

We are subject to the liquidity coverage ratio (“LCR”) standard as implemented by the Federal Reserve and OCC (the “LCR Rule”). The LCR Rule requires us to calculate our 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 second quarter of 2021 was 141%, 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 2020 Form 10-K for additional information.

Net Stable Funding Ratio

In October 2020, the Federal Banking Agencies finalized a rule to implement the Net Stable Funding Ratio in the United States (the “NSFR Rule”). The NSFR Rule requires the Company and each of the Banks to maintain an amount of available stable funding, which is a weighted measure of a company’s funding sources over a one-year time horizon, calculated by applying standardized weightings to equity and liabilities based on their expected stability, that is no less than the amount of required stable funding, which is calculated by applying standardized weightings to assets, derivatives exposures and certain other items based on their liquidity characteristics. As a Category III institution, the Company and the Banks are required to maintain available stable funding in an amount at least equal to 85% of its required stable funding. The NSFR Rule became effective on July 1, 2021 and applies to the Company and each of the Banks. The NSFR Rule includes a semi-annual disclosure requirement, with the first public disclosure required after June 30, 2023.

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 that allows us to periodically offer and sell up to $25 billion of securitized debt obligations from our credit card loan securitization trust and a shelf registration that allows us to periodically offer and sell up to $20 billion from our auto loan securitization trusts.

50 Capital One Financial Corporation (COF)

In addition to our issuance capacity under the shelf registration statements, we also have access to FHLB advances and the Federal Reserve Discount Window. The ability to borrow utilizing these sources is based on membership status and the amount is dependent upon the Banks’ ability to post collateral. As of June 30, 2021, we pledged both loans and securities to the FHLB to secure a maximum borrowing capacity of $19.2 billion, of which $41 million was used. Our FHLB membership is supported by our investment in FHLB stock of $32 million and $30 million as of June 30, 2021 and December 31, 2020, respectively, which was determined in part based on our outstanding advances. As of June 30, 2021, we pledged loans to secure a borrowing capacity of $21.3 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 June 30, 2021 and December 31, 2020.

Funding

Our primary source of funding comes from deposits, as they are a stable and relatively low 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 “MD&A—Consolidated Balance Sheets Analysis—Funding Sources Composition” for additional information on our primary sources of funding.

Deposits

Table 32 provides a comparison of average balances, interest expense and average deposits interest rates for the second quarter and first six months of 2021 and 2020.

Table 32: Deposits Composition and Average Deposits Interest Rates

	Three Months Ended June 30,
	2021						2020
(Dollars in millions)	Average Balance		Interest Expense		Average Deposits Interest Rate		Average Balance		Interest Expense		Average Deposits Interest Rate
Interest-bearing checking accounts(1)	$	44,795	$	18	0.16	%	$	36,105	$	28	0.31	%
Saving deposits(2)	204,737		156		0.31		180,103		372		0.83
Time deposits less than $100,000	16,820		50		1.18		28,607		138		1.94
Total interest-bearing core deposits	266,352		224		0.34		244,815		538		0.88
Time deposits of $100,000 or more	7,124		13		0.72		16,441		73		1.77
Total interest-bearing deposits	$	273,476	$	237	0.35		$	261,256	$	611	0.94

	Six Months Ended June 30,
	2021						2020
(Dollars in millions)	Average Balance		Interest Expense		Average Deposits Interest Rate		Average Balance		Interest Expense		Average Deposits Interest Rate
Interest-bearing checking accounts(1)	$	43,463	$	37	0.17	%	$	35,234	$	81	0.46	%
Saving deposits(2)	203,213		316		0.31		171,082		798		0.94
Time deposits less than $100,000	18,326		111		1.22		27,908		295		2.13
Total interest-bearing core deposits	265,002		464		0.35		234,224		1,174		1.01
Time deposits of $100,000 or more	8,415		42		1.01		16,961		168		1.99
Total interest-bearing deposits	$	273,417	$	506	0.37		$	251,185	$	1,342	1.07

__________

(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. COBNA and CONA were well-capitalized, as defined under the federal banking regulatory guidelines, as of June 30, 2021 and December 31, 2020, respectively. See “Part I—Item 1. Business—Supervision and Regulation” in our 2020 Form 10-K for additional information. We provide additional information on the

51 Capital One Financial Corporation (COF)

composition of deposits in “MD&A—Consolidated Balance Sheets Analysis—Funding Sources Composition” and in “Note 7—Deposits and Borrowings.”

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 may utilize short-term and long-term FHLB advances secured by certain of our investment securities, multifamily real estate loans and commercial real estate loans.

Our short-term borrowings include those borrowings with an original contractual maturity of one year or less and do not include the current portion of long-term debt. The short-term borrowings, which consist of federal funds purchased, securities loaned or sold under agreements to repurchase, increased by $177 million to $845 million as of June 30, 2021 from December 31, 2020 driven by an increase in repurchase agreements.

Our long-term debt, which primarily consists of securitized debt obligations and senior and subordinated notes, decreased by $4.4 billion to $35.5 billion as of June 30, 2021 from December 31, 2020 primarily driven by redemptions of our senior unsecured debt and maturities and paydowns in our securitizations. We provide more information on our securitization activity in “Note 5—Variable Interest Entities and Securitizations.”

The following table summarizes issuances of securitized debt obligations, senior and subordinated notes and their respective maturities or redemptions for the second quarter and first six months of 2021 and 2020. We did not have any such issuances for the second quarter and first six months of 2021.

Table 33: Long-Term Funding

	Issuances				Maturities/Redemptions
	Three Months Ended June 30,				Three Months Ended June 30,
(Dollars in millions)	2021		2020		2021		2020
Securitized debt obligations	$	—	$	—	$	1,502	$	1,383
Senior and subordinated notes	—		2,000		585		5,592
Total	$	—	$	2,000	$	2,087	$	6,975

	Issuances				Maturities/Redemptions
	Six Months Ended June 30,				Six Months Ended June 30,
(Dollars in millions)	2021		2020		2021		2020
Securitized debt obligations	$	—	$	1,250	$	1,773	$	3,593
Senior and subordinated notes	—		4,000		2,085		7,092
Total	$	—	$	5,250	$	3,858	$	10,685

52 Capital One Financial Corporation (COF)

Credit Ratings

Our credit ratings impact our ability to access capital markets and our borrowing costs. Rating agencies base their ratings on numerous factors, including liquidity, capital adequacy, asset quality, quality of earnings and the probability of systemic support. Significant changes in these factors could result in different ratings.

Table 34 provides a summary of the credit ratings for the senior unsecured long-term debt of Capital One Financial Corporation, COBNA and CONA as of June 30, 2021 and December 31, 2020.

Table 34: Senior Unsecured Long-Term Debt Credit Ratings

	June 30, 2021			December 31, 2020
	Capital One Financial Corporation	COBNA	CONA	Capital One Financial Corporation	COBNA	CONA
Moody’s	Baa1	A3	A3	Baa1	Baa1	Baa1
S&P	BBB	BBB+	BBB+	BBB	BBB+	BBB+
Fitch	A-	A-	A-	A-	A-	A-

As of July 26, 2021, Moody’s Investors Service (“Moody’s”), Standard & Poor’s (“S&P”) and Fitch Ratings (“Fitch”) have our credit ratings on a stable outlook.

MARKET RISK PROFILE

Market risk is the risk of economic loss in the value of our financial instruments due to changes in market factors. 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.

53 Capital One Financial Corporation (COF)

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 re-pricing 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 on our projected 12-month baseline net interest income resulting from movements in interest rates. In addition to our existing assets and liabilities, we incorporate expected future business growth assumptions, such as loan and deposit growth and pricing, and plans for projected changes in our funding mix in our baseline forecast. In measuring the sensitivity of interest rate movements on our projected net interest income, we assume a hypothetical instantaneous parallel shift in the level of interest rates detailed in Table 35 below. At the current level of interest rates, our net interest income is expected to increase in higher rate scenarios and decrease modestly in lower rate scenarios. Our current sensitivity to upward shocks has decreased as compared to December 31, 2020, mainly due to the increase in long-term interest rates.

Economic Value of Equity

Our economic value of equity sensitivity measure estimates the impact on the net present value of our assets and liabilities, including derivative exposures, resulting from movements in interest rates. Our economic value of equity sensitivity measure is calculated based on our existing assets and liabilities, including derivatives, and does not incorporate business growth assumptions or projected balance sheet changes. Key assumptions used in the calculation include projecting rate sensitive prepayments for mortgage securities, loans and other assets, term structure modeling of interest rates, discount spreads, and deposit volume and pricing assumptions. In measuring the sensitivity of interest rate movements on our economic value of equity, we assume a hypothetical instantaneous parallel shift in the level of interest rates detailed in Table 35 below. Our current economic value of equity sensitivity profile demonstrates that our economic value of equity increasing in moderately higher interest rate scenarios (+50 and +100 bps), while decreasing in a lower interest rate scenario (-50 bps). Similar to the changes in net interest income sensitivity, our current economic value of equity sensitivity to upward shocks has also decreased as compared to December 31, 2020 mainly due to the increase in long term interest rates.

Table 35 shows the estimated percentage impact on our projected baseline net interest income and economic value of equity calculated under the methodology described above as of June 30, 2021 and December 31, 2020. 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 negative policy rates. In jurisdictions that have negative policy rates, we do not floor interest rates at 0%.

54 Capital One Financial Corporation (COF)

Table 35: Interest Rate Sensitivity Analysis

	June 30, 2021		December 31, 2020
Estimated impact on projected baseline net interest income:
+200 basis points	4.0	%	5.6	%
+100 basis points	3.3		4.3
+50 basis points	1.9		2.4
–50 basis points	(1.3)		(0.9)
Estimated impact on economic value of equity:
+200 basis points	(0.2)		4.2
+100 basis points	2.8		6.0
+50 basis points	2.1		4.0
–50 basis points	(3.7)		(7.0)

In addition to these industry standard measures, we also consider the potential impact of alternative interest rate scenarios, such as stressed rate shocks as well as steepening and flattening yield curve scenarios in our internal interest rate risk management decisions.

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 the 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 “Note 8—Derivative Instruments and Hedging Activities.”

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 intercompany funding outstanding was 320 million GBP as of both June 30, 2021 and December 31, 2020, and 4.7 billion CAD and 5.3 billion CAD as of June 30, 2021 and December 31, 2020, respectively. Our EUR-denominated borrowings outstanding were 1.3 billion EUR as of both June 30, 2021 and December 31, 2020.

55 Capital One Financial Corporation (COF)

Our non-dollar equity investments in foreign operations expose our balance sheet to translation risk in AOCI and our capital ratios. We manage our AOCI exposure 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 1.7 billion GBP as of both June 30, 2021 and December 31, 2020, and 1.7 billion CAD and 1.5 billion CAD as of June 30, 2021 and December 31, 2020, respectively.

As a result of our derivative management activities, we believe our net exposure to foreign exchange risk is minimal.

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 percent 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 “Note 8—Derivative Instruments and Hedging Activities.”

London Interbank Offered Rate (“LIBOR”) Transition

On July 27, 2017, the U.K. Financial Conduct Authority (“FCA”), the regulator for the administration of LIBOR, announced that LIBOR would be transitioned as an interest rate benchmark and that it will no longer compel banks to contribute LIBOR data beyond December 31, 2021. In the U.S., the Federal Reserve Board and the Federal Reserve Bank of New York established the Alternative Reference Rates Committee (“ARRC”), a group of private market participants and ex-officio members representing banking and financial sector regulators. The ARRC has recommended Secured Overnight Financing Rate (“SOFR”) as the preferred alternative rate for certain U.S. dollar derivative and cash instruments. While the ARRC has recommended SOFR as the replacement rate for LIBOR, some market participants have begun using alternate rates featuring a credit-sensitive element. We are continuing to evaluate the different LIBOR alternatives and how their progression will impact our transition efforts.

On March 5, 2021, the ICE Benchmark Administration (“IBA”), the administrator of LIBOR, confirmed its intention to cease publication of the 1-week and 2-month USD LIBOR settings immediately following the LIBOR publication on December 31, 2021, and the remaining USD LIBOR tenors (overnight; 1, 3, 6, and 12 months) immediately following the LIBOR publication on June 30, 2023. The continuation of USD LIBOR as a representative rate into mid-2023 will allow many legacy USD LIBOR contracts to mature prior to cessation. Following IBA’s announcement, the FCA formally announced the future permanent cessation and loss of representativeness of LIBOR benchmarks.

We have exposures to LIBOR, including loans, derivative contracts, unsecured debt, securitizations, vendor agreements and other instruments with attributes that are either directly or indirectly dependent on LIBOR. To facilitate an orderly transition from LIBOR, we have established a company-wide, cross-functional initiative to oversee and manage our transition away from LIBOR and other Interbank Offered Rates (“IBORs”) to alternative reference rates.

We have made progress on our transition efforts as we continue to insert LIBOR transition language (“fallback language”) in new and existing lending contracts as well as fallback language in derivatives contracts and agreements that adheres to the International Swaps and Derivatives Association (“ISDA”) fallback protocol.

We also continue to focus our transition efforts on:

•monitoring market developments and industry practices related to SOFR and other LIBOR replacement indexes;

•originating loans and transacting in instruments indexed to SOFR and other LIBOR replacement rates;

•reviewing existing legal contracts and agreements and assessing fallback language impacts;

•monitoring and reducing our inventory of LIBOR exposures;

56 Capital One Financial Corporation (COF)

•building internal operational readiness and risk management processes, including exposure reporting;

•implementing necessary updates to our infrastructure including systems, models, valuation tools and processes; and

•engaging with our clients, industry working groups, and regulators.

For a further discussion of the various risks we face in connection with the expected replacement of LIBOR on our operations, see “Part I—Item 1A. Risk Factors—Uncertainty regarding, and transition away from, LIBOR may adversely affect our business” in our 2020 Form 10-K.

SUPERVISION AND REGULATION

Dividends and Stock Repurchases Update

On June 24, 2021, the Federal Reserve released the results of its supervisory stress tests for the 2021 cycle. Based on the results, all participating BHCs remained above their risk-based minimum capital requirements in the hypothetical stress scenario. Accordingly, as laid out previously by the Federal Reserve, the temporary capital distribution restrictions put in place in the third quarter of 2020 following the outbreak of COVID-19 ended for all participating BHCs after the second quarter of 2021. All participating BHCs remain subject to the normal capital distribution restrictions of the stress capital buffer framework.

Based on the Company’s 2021 supervisory stress testing results, the Company’s stress capital buffer requirement for the period beginning on October 1, 2021 through September 30, 2022 is 2.5%. Therefore, the Company’s minimum capital requirements plus the standardized approach capital conservation buffer for CET1 capital, Tier 1 capital and total capital ratios under the stress capital buffer framework are 7.0%, 8.5% and 10.5%, respectively, for the period from October 1, 2021 through September 30, 2022.

We provided additional information on our Supervision and Regulation in our 2020 Form 10-K under “Part I—Item 1. Business—Supervision and Regulation” and in our Quarterly Report on Form 10-Q for the period ended March 31, 2021 under “Part I—Item 2. MD&A—Supervision and Regulation.”

57 Capital One Financial Corporation (COF)

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, capital 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,” “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 2020 Form 10-K. You should carefully consider the factors discussed above, and in our Risk Factors or other disclosure, 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:

•the impact of the COVID-19 pandemic and related public health measures on our business, financial condition and results of operations, including the increased estimation and forecast uncertainty as a result of the pandemic on our estimates of lifetime expected credit losses in our loan portfolios required in computing our allowance for credit losses;

•general economic and business conditions in our local markets, including conditions affecting employment levels, interest rates, tariffs, collateral values, consumer income, creditworthiness and confidence, spending and savings that may affect consumer bankruptcies, defaults, charge-offs and deposit activity;

•an increase or decrease in credit losses, or increased delinquencies, including increases due to a worsening of general economic conditions in the credit environment, and the impact of inaccurate estimates or inadequate reserves;

•compliance with new and existing laws, regulations and regulatory expectations including the implementation of a regulatory reform agenda;

•our ability to manage adequate capital or liquidity levels, which could have a negative impact on our financial results and our ability to return capital to our stockholders;

•the extensive use, reliability, disruption, and accuracy of the models and data we rely on;

•increased costs, reductions in revenue, reputational damage, legal liability and business disruptions that can result from data protection or privacy incidents or the theft, loss or misuse of information, including as a result of a cyber-attack;

•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 and operational plans;

•our response to competitive pressures;

•our business, financial condition and results of operations may be adversely affected by merchants’ increasing focus on the fees charged by credit card networks 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;

58 Capital One Financial Corporation (COF)

•our ability to maintain a compliance, 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, the financial services industry or us with respect to practices, products or financial condition;

•increases or decreases in interest rates and uncertainty with respect to the interest rate environment, including the possibility of a prolonged low-interest rate environment or of negative interest rates;

•uncertainty regarding, and transition away from, the London Interbank Offered Rate;

•our ability to attract, retain and motivate skilled employees;

•our assumptions or estimates in our financial statements;

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

•the soundness of other financial institutions and other third parties; and

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

We expect that the effects of the COVID-19 pandemic will heighten the risks associated with many of these factors.

59 Capital One Financial Corporation (COF)

SUPPLEMENTAL TABLE

Reconciliation of Non-GAAP Measures

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 GAAP.

Table A—Reconciliation of Non-GAAP Measures

(Dollars in millions, except as noted)	June 30, 2021			December 31, 2020
Tangible Common Equity (Period-End):
Stockholders’ equity	$	64,624		$	60,204
Goodwill and intangible assets(1)	(14,774)			(14,809)
Noncumulative perpetual preferred stock	(6,488)			(4,847)
Tangible common equity	$	43,362		$	40,548
Tangible Common Equity (Quarterly Average):
Stockholders’ equity	$	62,376		$	59,389
Goodwill and intangible assets(1)	(14,788)			(14,824)
Noncumulative perpetual preferred stock	(5,491)			(5,168)
Tangible common equity	$	42,097		$	39,397
Tangible Assets (Period-End):
Total assets	$	423,420		$	421,602
Goodwill and intangible assets(1)	(14,774)			(14,809)
Tangible assets	$	408,646		$	406,793
Tangible Assets (Quarterly Average):
Total assets	$	424,099		$	420,011
Goodwill and intangible assets(1)	(14,788)			(14,824)
Tangible assets	$	409,311		$	405,187
Non-GAAP Ratio:
Tangible common equity (“TCE”)(2)	10.6		%	10.0		%

__________

(1)Includes impact of related deferred taxes.

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

60 Capital One Financial Corporation (COF)

Glossary and Acronyms

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 “2020 Form 10-K” or “2020 Annual Report” are to our Annual Report on Form 10-K for the fiscal year ended December 31, 2020.

Banks: Refers to COBNA and CONA.

Basel Committee: The Basel Committee on Banking Supervision.

Basel III Advanced Approaches: Following the Tailoring Rule, the Basel III Advanced Approaches was mandatory for Category I and II institutions. Category III institutions, such as us, are no longer subject to the Basel III Advanced Approaches framework effective January 1, 2020.

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 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.

The Coronavirus Aid, Relief, and Economic Security Act (“CARES Act”): Legislation signed into law on March 27, 2020. This law, among other things, authorized a number of lending programs to support the flow of credit to consumers and businesses and gave the banking organizations an option to temporarily suspend the determination of certain qualified loans modified as a result of COVID-19 as being TDRs, which was extended by the Consolidated Appropriations Act 2021.

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 current expected credit loss (“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.

COBNA: Capital One Bank (USA), National Association, one of our fully owned subsidiaries, which offers credit and debit card products, other lending products and deposit products.

Common equity Tier 1 (“CET1”) capital: Calculated as the sum of common equity, related surplus and retained earnings, and accumulated other comprehensive income net of applicable phase-ins, less goodwill and intangibles net of associated deferred tax liabilities and applicable phase-ins, less other deductions, as defined by regulators.

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

Credit risk: The risk of loss from an obligor’s failure to meet the terms of any contract or otherwise fail to perform as agreed.

61 Capital One Financial Corporation (COF)

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.

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 (“ASC”) 205, that are removed from continuing operations when that component has been disposed of or it is management’s intention to sell the component.

Dodd-Frank Wall Street Reform and Consumer Protection Act (“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 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.

Foreign currency derivative contracts: An agreement to exchange contractual amounts of one currency for another currency at one or more future dates.

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

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.

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: In September 2014, the Federal Banking Agencies issued final rules implementing 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 the 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 period.

62 Capital One Financial Corporation (COF)

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.

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 arrangements: 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.

Mortgage-backed security (“MBS”): An asset-backed security whose cash flows are backed by the principal and interest payments of a set of mortgage loans.

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.

NSFR Rule: The Federal Banking Agencies issued a rule in October 2020 implementing the net stable funding ratio (“NSFR”). 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.

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

Public Funds 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 business locations and 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.

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

63 Capital One Financial Corporation (COF)

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

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.

Tailoring Rules: In October 2019, the Federal Banking Agencies released final rules that provide for tailored application of certain capital, liquidity and stress-testing requirements across different categories of banking institutions. As a bank holding company with total consolidated assets of at least $250 billion that does not exceed any of the applicable risk-based thresholds, we are a Category III institution under the Tailoring Rules.

Tangible common equity: A non-GAAP financial measure. Common equity less goodwill and intangible assets adjusted for deferred tax liabilities associated with non-tax deductible intangible assets and tax deductible goodwill.

Tax Act: The Act to provide for reconciliation pursuant to titles II and V of the concurrent resolution on the budget for fiscal year 2018 enacted on December 22, 2017.

Troubled debt restructuring (“TDR”): A TDR is deemed to occur when the contractual terms of a loan agreement are modified by granting a concession to a borrower that is experiencing financial difficulty.

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

U.K. PPI Reserve: U.K. payment protection insurance customer refund reserve.

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.

Variable interest entity (“VIE”): An entity that (i) lacks enough equity investment at risk to permit the entity to finance its activities without additional financial support from other parties; (ii) has equity owners that lack the right to make significant decisions affecting the entity’s operations; and/or (iii) has equity owners that do not have an obligation to absorb or the right to receive the entity’s losses or return.

64 Capital One Financial Corporation (COF)

Acronyms

AML: Anti-money laundering

ABS: Asset-backed securities

AOCI: Accumulated other comprehensive income

ARRC: Alternative Reference Rates Committee

ASU: Accounting Standards Update

ASC: Accounting Standards Codification

ATM: Automated teller machine

BHC: Bank holding company

bps: Basis points

CAD: Canadian dollar

CCAR: Comprehensive Capital Analysis and Review

CCP: Central Counterparty Clearinghouse, or Central Clearinghouse

CDE: Community development entities

CECL: Current expected credit loss

CMBS: Commercial mortgage-backed securities

CME: Chicago Mercantile Exchange

COEP: Capital One (Europe) plc

COF: Capital One Financial Corporation

CVA: Credit valuation adjustment

DVA: Debit valuation adjustment

EUR: Euro

Fannie Mae: Federal National Mortgage Association

FASB: Financial Accounting Standards Board

FCA: U.K. Financial Conduct Authority

FCM: Futures commission merchant

FDIC: Federal Deposit Insurance Corporation

FHLB: Federal Home Loan Banks

Fitch: Fitch Ratings

FOS: Financial Ombudsman Service

Freddie Mac: Federal Home Loan Mortgage Corporation

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

GBP: Pound sterling

Ginnie Mae: Government National Mortgage Association

G-SIB: Global systemically important banks

GSE or Agency: Government-sponsored enterprise

IBA: ICE Benchmark Administration 

IBOR: Interbank Offered Rate

IRM: Independent Risk Management

LCH: LCH Group

LCR: Liquidity coverage ratio

LIBOR: London Interbank Offered Rate

MDL: Multi-district litigation

65 Capital One Financial Corporation (COF)

Moody’s: Moody’s Investors Service

MSRs: Mortgage servicing rights

NSFR: Net stable funding ratio

OCC: Office of the Comptroller of the Currency

OTC: Over-the-counter

PCA: Prompt corrective action

PCI: Purchased credit-impaired

PCCR: Purchased credit card relationship

PPI: Payment protection insurance

PPP: Paycheck Protection Program

RMBS: Residential mortgage-backed securities

RSU: Restricted stock unit

S&P: Standard & Poor’s

SEC: U.S. Securities and Exchange Commission

SCB: Stress Capital Buffer

SOFR: Secured Overnight Financing Rate

TCE: Tangible common equity

TDR: Troubled debt restructuring

U.K.: United Kingdom

U.S.: United States of America

VIE: Variable interest entity

XBRL: Extensible business reporting language

66 Capital One Financial Corporation (COF)

Item 1. Financial Statements and Notes
	Page
Consolidated Financial Statements	68
Consolidated Statements of Income	68
Consolidated Statements of Comprehensive Income	69
Consolidated Balance Sheets	70
Consolidated Statements of Changes in Stockholders’ Equity	71
Consolidated Statements of Cash Flows	73
Notes to Consolidated Financial Statements	75
Note 1—Summary of Significant Accounting Policies	75
Note 2—Investment Securities	77
Note 3—Loans	80
Note 4—Allowance for Credit Losses and Reserve for Unfunded Lending Commitments	90
Note 5—Variable Interest Entities and Securitizations	94
Note 6—Goodwill and Intangible Assets	98
Note 7—Deposits and Borrowings	99
Note 8—Derivative Instruments and Hedging Activities	100
Note 9—Stockholders’ Equity	110
Note 10—Earnings Per Common Share	114
Note 11—Fair Value Measurement	115
Note 12—Business Segments and Revenue from Contracts with Customers	122
Note 13—Commitments, Contingencies, Guarantees and Others	126

67 Capital One Financial Corporation (COF)

CAPITAL ONE FINANCIAL CORPORATION

CONSOLIDATED STATEMENTS OF INCOME (UNAUDITED)

	Three Months Ended June 30,				Six Months Ended June 30,
(Dollars in millions, except per share-related data)	2021		2020		2021		2020
Interest income:
Loans, including loans held for sale	$	5,753	$	5,820	$	11,607	$	12,362
Investment securities	370		482		761		1,012
Other	16		16		32		53
Total interest income	6,139		6,318		12,400		13,427
Interest expense:
Deposits	237		611		506		1,342
Securitized debt obligations	28		56		60		155
Senior and subordinated notes	122		180		251		419
Other borrowings	9		11		18		26
Total interest expense	396		858		835		1,942
Net interest income	5,743		5,460		11,565		11,485
Provision (benefit) for credit losses	(1,160)		4,246		(1,983)		9,669
Net interest income after provision for credit losses	6,903		1,214		13,548		1,816
Non-interest income:
Interchange fees, net	1,016		672		1,833		1,424
Service charges and other customer-related fees	384		258		736		585
Net securities gains	0		0		4		0
Other	231		166		349		311
Total non-interest income	1,631		1,096		2,922		2,320
Non-interest expense:
Salaries and associate benefits	1,781		1,704		3,628		3,331
Occupancy and equipment	523		523		995		1,040
Marketing	620		273		1,121		764
Professional services	341		304		633		591
Communications and data processing	315		308		617		610
Amortization of intangibles	5		16		11		38
Other	381		642		701		1,125
Total non-interest expense	3,966		3,770		7,706		7,499
Income (loss) from continuing operations before income taxes	4,568		(1,460)		8,764		(3,363)
Income tax provision (benefit)	1,031		(543)		1,900		(1,106)
Income (loss) from continuing operations, net of tax	3,537		(917)		6,864		(2,257)
Loss from discontinued operations, net of tax	(1)		(1)		(3)		(1)
Net income (loss)	3,536		(918)		6,861		(2,258)
Dividends and undistributed earnings allocated to participating securities	(30)		(1)		(58)		(4)
Preferred stock dividends	(60)		(90)		(121)		(145)
Issuance cost for redeemed preferred stock	0		0		0		(22)
Net income (loss) available to common stockholders	$	3,446	$	(1,009)	$	6,682	$	(2,429)
Basic earnings per common share:
Net income (loss) from continuing operations	$	7.65	$	(2.21)	$	14.70	$	(5.31)
Net income (loss) per basic common share	$	7.65	$	(2.21)	$	14.70	$	(5.31)
Diluted earnings per common share:
Net income (loss) from continuing operations	$	7.62	$	(2.21)	$	14.65	$	(5.31)
Net income (loss) per diluted common share	$	7.62	$	(2.21)	$	14.65	$	(5.31)

See Notes to Consolidated Financial Statements.
	68	Capital One Financial Corporation (COF)

CAPITAL ONE FINANCIAL CORPORATION

CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (UNAUDITED)

	Three Months Ended June 30,				Six Months Ended June 30,
(Dollars in millions)	2021		2020		2021		2020
Net income (loss)	$	3,536	$	(918)	$	6,861	$	(2,258)
Other comprehensive income (loss), net of tax:
Net unrealized gains (losses) on securities available for sale	51		222		(1,097)		1,446
Net unrealized gains (losses) on hedging relationships	(51)		57		(632)		1,431
Foreign currency translation adjustments	9		23		28		(44)
Other	0		0		(1)		0
Other comprehensive income (loss), net of tax	9		302		(1,702)		2,833
Comprehensive income (loss)	$	3,545	$	(616)	$	5,159	$	575

See Notes to Consolidated Financial Statements.
	69	Capital One Financial Corporation (COF)

CAPITAL ONE FINANCIAL CORPORATION

CONSOLIDATED BALANCE SHEETS (UNAUDITED)

(Dollars in millions, except per share-related data)	June 30, 2021		December 31, 2020
Assets:
Cash and cash equivalents:
Cash and due from banks	$	5,312	$	4,708
Interest-bearing deposits and other short-term investments	29,534		35,801
Total cash and cash equivalents	34,846		40,509
Restricted cash for securitization investors	242		262
Securities available for sale (amortized cost of $100.3 billion and $97.6 billion and allowance for credit losses of $1 million as of both June 30, 2021 and December 31, 2020)	101,766		100,445
Loans held for investment:
Unsecuritized loans held for investment	226,130		225,698
Loans held in consolidated trusts	23,467		25,926
Total loans held for investment	249,597		251,624
Allowance for credit losses	(12,346)		(15,564)
Net loans held for investment	237,251		236,060
Loans held for sale ($371 million and $596 million carried at fair value as of June 30, 2021 and December 31, 2020, respectively)	6,522		2,710
Premises and equipment, net	4,227		4,287
Interest receivable	1,372		1,471
Goodwill	14,654		14,653
Other assets	22,540		21,205
Total assets	$	423,420	$	421,602
Liabilities:
Interest payable	$	301	$	352
Deposits:
Non-interest-bearing deposits	34,994		31,142
Interest-bearing deposits	271,314		274,300
Total deposits	306,308		305,442
Securitized debt obligations	10,561		12,414
Other debt:
Federal funds purchased and securities loaned or sold under agreements to repurchase	845		668
Senior and subordinated notes	24,878		27,382
Other borrowings	59		75
Total other debt	25,782		28,125
Other liabilities	15,844		15,065
Total liabilities	358,796		361,398
Commitments, contingencies and guarantees (see Note 13)
Stockholders’ equity:
Preferred stock (par value $0.01 per share; 50,000,000 shares authorized; 6,650,000 and 4,975,000 shares issued and outstanding as of June 30, 2021 and December 31, 2020, respectively)	0		0
Common stock (par value $0.01 per share; 1,000,000,000 shares authorized; 683,559,818 and 679,932,837 shares issued as of June 30, 2021 and December 31, 2020, respectively; 446,113,769 and 458,972,202 shares outstanding as of June 30, 2021 and December 31, 2020, respectively)	7		7
Additional paid-in capital, net	35,472		33,480
Retained earnings	46,461		40,088
Accumulated other comprehensive income	1,792		3,494
Treasury stock, at cost (par value $0.01 per share; 237,446,049 and 220,960,635 shares as of June 30, 2021 and December 31, 2020, respectively)	(19,108)		(16,865)
Total stockholders’ equity	64,624		60,204
Total liabilities and stockholders’ equity	$	423,420	$	421,602

See Notes to Consolidated Financial Statements.
	70	Capital One Financial Corporation (COF)

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, 2020	4,975,000	$	0	679,932,837	$	7	$	33,480	$	40,088	$	3,494	$	(16,865)	$	60,204
Comprehensive income									3,325		(1,711)				1,614
Dividends—common stock(1)				13,356	0		1		(185)						(184)
Dividends—preferred stock									(61)						(61)
Purchases of treasury stock													(575)		(575)
Issuances of common stock and restricted stock, net of forfeitures				2,531,966	0		60								60
Exercises of stock options				283,398	0		19								19
Compensation expense for restricted stock units							111								111
Balance as of March 31, 2021	4,975,000	$	0	682,761,557	$	7	$	33,671	$	43,167	$	1,783	$	(17,440)	$	61,188
Comprehensive income									3,536		9				3,545
Dividends—common stock(1)				4,954	0		1		(182)						(181)
Dividends—preferred stock									(60)						(60)
Purchases of treasury stock													(1,668)		(1,668)
Issuances of common stock and restricted stock, net of forfeitures				583,779	0		60								60
Exercises of stock options				209,528	0		15								15
Issuances of preferred stock	1,675,000	0					1,641								1,641
Compensation expense for restricted stock units							84								84
Balance as of June 30, 2021	6,650,000	$	0	683,559,818	$	7	$	35,472	$	46,461	$	1,792	$	(19,108)	$	64,624

See Notes to Consolidated Financial Statements.
	71	Capital One Financial Corporation (COF)

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, 2019	4,975,000	$	0	672,969,391	$	7	$	32,980	$	40,340	$	1,156	$	(16,472)	$	58,011
Cumulative effects from adoption of the CECL standard									(2,184)		(8)				(2,192)
Comprehensive income									(1,340)		2,531				1,191
Dividends—common stock(1)				23,213	0		2		(187)						(185)
Dividends—preferred stock									(55)						(55)
Purchases of treasury stock													(386)		(386)
Issuances of common stock and restricted stock, net of forfeitures				2,618,628	0		63								63
Exercises of stock options				559,333	0		20								20
Issuances of preferred stock	1,250,000	0					1,209								1,209
Redemptions of preferred stock	(875,000)	0					(853)		(22)						(875)
Compensation expense for restricted stock units and stock options							29								29
Balance as of March 31, 2020	5,350,000	$	0	676,170,565	$	7	$	33,450	$	36,552	$	3,679	$	(16,858)	$	56,830
Comprehensive income (loss)									(918)		302				(616)
Dividends—common stock(1)				6,521	0		0		(183)						(183)
Dividends—preferred stock									(90)						(90)
Purchases of treasury stock													(2)		(2)
Issuances of common stock and restricted stock, net of forfeitures				1,041,311	0		58								58
Exercises of stock options				8,410	0		0								0
Compensation expense for restricted stock units and stock options							48								48
Balance as of June 30, 2020	5,350,000	$	0	677,226,807	$	7	$	33,556	$	35,361	$	3,981	$	(16,860)	$	56,045

__________

(1)We declared dividends per share on our common stock of $0.40 in the second quarter of 2021 and 2020, and $0.80 in the first six months of 2021 and 2020.

See Notes to Consolidated Financial Statements.
	72	Capital One Financial Corporation (COF)

CAPITAL ONE FINANCIAL CORPORATION

CONSOLIDATED STATEMENTS OF CASH FLOWS (UNAUDITED)

	Six Months Ended June 30,
(Dollars in millions)	2021		2020
Operating activities:
Income (loss) from continuing operations, net of tax	$	6,864	$	(2,257)
Loss from discontinued operations, net of tax	(3)		(1)
Net income (loss)	6,861		(2,258)
Adjustments to reconcile net income (loss) to net cash from operating activities:
Provision (benefit) for credit losses	(1,983)		9,669
Depreciation and amortization, net	1,714		1,804
Deferred tax provision (benefit)	574		(1,574)
Net securities losses (gains)	(4)		0
Gain on sales of loans	(5)		(11)
Stock-based compensation expense	206		74
Other (including (gains) and losses from equity investments)	38		(7)
Loans held for sale:
Originations and purchases	(3,233)		(4,347)
Proceeds from sales and paydowns	3,707		4,002
Changes in operating assets and liabilities:
Changes in interest receivable	99		184
Changes in other assets	(3,183)		954
Changes in interest payable	(51)		(59)
Changes in other liabilities	957		783
Net change from discontinued operations	(3)		1
Net cash from operating activities	5,694		9,215
Investing activities:
Securities available for sale:
Purchases	(18,185)		(14,568)
Proceeds from paydowns and maturities	14,142		9,113
Proceeds from sales	595		144
Loans:
Net changes in loans held for investment	(5,160)		9,797
Principal recoveries of loans previously charged off	1,308		1,292
Net purchases of premises and equipment	(341)		(342)
Net cash from acquisition activities	(24)		0
Net cash from other investing activities	(26)		(377)
Net cash from investing activities	(7,691)		5,059

See Notes to Consolidated Financial Statements.
	73	Capital One Financial Corporation (COF)

CAPITAL ONE FINANCIAL CORPORATION

CONSOLIDATED STATEMENTS OF CASH FLOWS (UNAUDITED)

	Six Months Ended June 30,
(Dollars in millions)	2021		2020
Financing activities:
Deposits and borrowings:
Changes in deposits	$	945	$	41,234
Issuance of securitized debt obligations	0		1,248
Maturities and paydowns of securitized debt obligations	(1,773)		(3,593)
Issuance of senior and subordinated notes and long-term FHLB advances	0		3,987
Maturities and paydowns of senior and subordinated notes and long-term FHLB advances	(2,085)		(7,156)
Changes in other borrowings	161		(6,759)
Common stock:
Net proceeds from issuances	120		121
Dividends paid	(365)		(368)
Preferred stock:
Net proceeds from issuances	1,641		1,209
Dividends paid	(121)		(145)
Redemptions	0		(875)
Purchases of treasury stock	(2,243)		(388)
Proceeds from share-based payment activities	34		20
Net cash from financing activities	(3,686)		28,535
Changes in cash, cash equivalents and restricted cash for securitization investors	(5,683)		42,809
Cash, cash equivalents and restricted cash for securitization investors, beginning of the period	40,771		13,749
Cash, cash equivalents and restricted cash for securitization investors, end of the period	$	35,088	$	56,558
Supplemental cash flow information:
Non-cash items:
Net transfers from (to) loans held for investment to (from) loans held for sale	$	4,575	$	(36)
Interest paid	1,145		2,088
Income tax paid	1,013		137

See Notes to Consolidated Financial Statements.
	74	Capital One Financial Corporation (COF)

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”) offer a broad array of financial products and services to consumers, small businesses and commercial clients through digital channels, branches, Cafés and other distribution channels. As of June 30, 2021, our principal subsidiaries included:

•Capital One Bank (USA), National Association (“COBNA”), which offers credit and debit card products, other lending products and deposit products; and

•Capital One, National Association (“CONA”), which offers a broad spectrum of banking products and financial services to consumers, small businesses and commercial clients.

The Company is hereafter collectively referred to as “we,” “us” or “our.” COBNA and CONA are collectively referred to as the “Banks.”

We also offer products outside of the United States of America (“U.S.”) principally through Capital One (Europe) plc (“COEP”), an indirect subsidiary of COBNA organized and located in the United Kingdom (“U.K.”), and through a branch of COBNA in Canada. COEP has authority, among other things, to provide credit card loans. Our branch of COBNA in Canada also has 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 recent acquisitions, if any, into our business segments and the allocation methodologies and accounting policies used to derive our business segment results in “Note 12—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. Certain prior period amounts have been reclassified to conform to the current period presentation.

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 2020 Annual Report on Form 10-K (“2020 Form 10-K”).

75 Capital One Financial Corporation (COF)

Newly Adopted Accounting Standards During the Six Months Ended June 30, 2021

Standard	Guidance	Adoption Timing and Financial Statement Impacts
Income Tax Accounting Simplification ASU No. 2019-12, Income Taxes (Topic 740): Simplifying the Accounting for Income Taxes Issued December 2019	Simplifies various aspects of the guidance on accounting for income taxes.	We adopted this guidance in the first quarter of 2021 using the modified retrospective and prospective methods of adoption. Our adoption of this standard did not have a material impact on our consolidated financial statements.

76 Capital One Financial Corporation (COF)

NOTE 2—INVESTMENT SECURITIES

Our investment securities portfolio consists of the following: U.S. government-sponsored enterprise or agency (“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% of our total investment securities portfolio as of both June 30, 2021 and December 31, 2020.

The table below presents the amortized cost, gross unrealized gains and losses, and fair value of securities available for sale as of June 30, 2021 and December 31, 2020. Accrued interest receivable of $221 million and $230 million as of June 30, 2021, and December 31, 2020, respectively, is not included in the table below.

Table 2.1: Investment Securities Available for Sale

	June 30, 2021
(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	$	9,211	$	0	$	20	$	0	$	9,231
RMBS:
Agency	76,318		0		1,433		(545)		77,206
Non-agency	908		(1)		209		0		1,116
Total RMBS	77,226		(1)		1,642		(545)		78,322
Agency CMBS	10,781		0		335		(29)		11,087
Other securities(1)	3,118		0		8		0		3,126
Total investment securities available for sale	$	100,336	$	(1)	$	2,005	$	(574)	$	101,766

	December 31, 2020
(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	$	9,302	$	0	$	16	$	0	$	9,318
RMBS:
Agency	73,248		0		2,326		(108)		75,466
Non-agency	1,035		(1)		204		(1)		1,237
Total RMBS	74,283		(1)		2,530		(109)		76,703
Agency CMBS	11,298		0		448		(11)		11,735
Other securities(1)	2,686		0		3		0		2,689
Total investment securities available for sale	$	97,569	$	(1)	$	2,997	$	(120)	$	100,445

__________    

(1)Includes $2.3 billion and $1.8 billion of asset-backed securities (“ABS”) as of June 30, 2021, and December 31, 2020, respectively. The remaining amount is primarily comprised of supranational bonds and foreign government bonds.

77 Capital One Financial Corporation (COF)

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 June 30, 2021 and December 31, 2020. The amounts include securities available for sale without an allowance for credit losses.

Table 2.2: Securities in a Gross Unrealized Loss Position

	June 30, 2021
	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:
RMBS:
Agency	$	34,165	$	(485)	$	1,685	$	(59)	$	35,850	$	(544)
Non-agency	6		0		0		0		6		0
Total RMBS	34,171		(485)		1,685		(59)		35,856		(544)
Agency CMBS	2,028		(27)		223		(2)		2,251		(29)
Other securities(1)	529		0		0		0		529		0
Total investment securities available for sale in a gross unrealized loss position without an allowance for credit losses(2)	$	36,728	$	(512)	$	1,908	$	(61)	$	38,636	$	(573)

	December 31, 2020
	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:
RMBS:
Agency	$	7,424	$	(57)	$	1,791	$	(51)	$	9,215	$	(108)
Non-agency	12		0		0		0		12		0
Total RMBS	7,436		(57)		1,791		(51)		9,227		(108)
Agency CMBS	1,545		(7)		267		(4)		1,812		(11)
Other securities(1)	114		0		1		0		115		0
Total investment securities available for sale in a gross unrealized loss position without an allowance for credit losses(2)	$	9,095	$	(64)	$	2,059	$	(55)	$	11,154	$	(119)

__________

(1)    Includes primarily other asset-backed securities, foreign government bonds, and supranational bonds.

(2)    Consists of approximately 570 and 320 securities in gross unrealized loss positions as of June 30, 2021 and December 31, 2020, respectively.

78 Capital One Financial Corporation (COF)

Maturities and Yields of Investment Securities

The table below summarizes, by major security type, the contractual maturities and weighted-average yields of our investment securities as of June 30, 2021. Because 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 and is calculated based on the amortized cost of each security.

Table 2.3: Contractual Maturities and Weighted-Average Yields of Securities

	June 30, 2021
(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	$	1,401		$	7,830		$	0		$	0		$	9,231
RMBS(1):
Agency	0			97			1,139			75,970			77,206
Non-agency	0			0			0			1,116			1,116
Total RMBS	0			97			1,139			77,086			78,322
Agency CMBS(1)	399			2,666			5,133			2,889			11,087
Other securities	298			2,560			268			0			3,126
Total securities available for sale	$	2,098		$	13,153		$	6,540		$	79,975		$	101,766
Amortized cost of securities available for sale	$	2,096		$	13,087		$	6,376		$	78,777		$	100,336
Weighted-average yield for securities available for sale	0.66		%	0.53		%	1.51		%	1.77		%	1.57		%

__________

(1)As of June 30, 2021, the weighted-average expected maturities of RMBS and Agency CMBS are 5.4 years and 5.6 years, respectively.

Net Securities Gains or Losses and Proceeds from Sales

Total proceeds from sales of our securities were $595 million, with gains of $4 million for the six months ended June 30, 2021. We had no sales of securities both for the three months ended June 30, 2021 and 2020. For the six months ended June 30, 2020, total proceeds from the sale of our securities were $144 million and we recognized less than $1 million of gains.

Securities Pledged and Received

We pledged investment securities totaling $19.2 billion and $16.5 billion as of June 30, 2021 and December 31, 2020, respectively. These securities are primarily pledged to secure FHLB advances and Public Funds deposits, as well as for other purposes as required or permitted by law. We accepted pledges of securities with a fair value of approximately $1 million as of both June 30, 2021 and December 31, 2020, related to our derivative transactions.

79 Capital One Financial Corporation (COF)

NOTE 3—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 this section 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. Amounts include the impacts of COVID-19 customer assistance programs where applicable.

Accrued interest receivable of $1.2 billion as of both June 30, 2021 and December 31, 2020, 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 June 30, 2021 and December 31, 2020. The delinquency aging includes all past due loans, both performing and nonperforming.

Table 3.1: Loan Portfolio Composition and Aging Analysis

	June 30, 2021
				Delinquent Loans
(Dollars in millions)	Current			30-59 Days			60-89 Days			> 90 Days			Total Delinquent Loans			Total Loans
Credit Card:
Domestic credit card	$	93,711		$	525		$	317		$	756		$	1,598		$	95,309
International card businesses	5,536			67			37			68			172			5,708
Total credit card	99,247			592			354			824			1,770			101,017
Consumer Banking:
Auto	69,222			1,717			645			129			2,491			71,713
Retail banking	2,999			21			8			18			47			3,046
Total consumer banking	72,221			1,738			653			147			2,538			74,759
Commercial Banking:
Commercial and multifamily real estate	29,476			4			23			113			140			29,616
Commercial and industrial	43,924			201			25			55			281			44,205
Total commercial banking	73,400			205			48			168			421			73,821
Total loans(1)	$	244,868		$	2,535		$	1,055		$	1,139		$	4,729		$	249,597
% of Total loans	98.11		%	1.01		%	0.42		%	0.46		%	1.89		%	100.00		%

80 Capital One Financial Corporation (COF)

	December 31, 2020
				Delinquent Loans
(Dollars in millions)	Current			30-59 Days			60-89 Days			> 90 Days			Total Delinquent Loans			Total Loans
Credit Card:
Domestic credit card	$	96,116		$	755		$	464		$	1,169		$	2,388		$	98,504
International card businesses	8,218			90			58			86			234			8,452
Total credit card	104,334			845			522			1,255			2,622			106,956
Consumer Banking:
Auto	62,381			2,252			907			222			3,381			65,762
Retail banking	3,064			28			19			15			62			3,126
Total consumer banking	65,445			2,280			926			237			3,443			68,888
Commercial Banking:
Commercial and multifamily real estate	30,340			136			22			183			341			30,681
Commercial and industrial	44,941			69			15			74			158			45,099
Total commercial banking	75,281			205			37			257			499			75,780
Total loans(1)	$	245,060		$	3,330		$	1,485		$	1,749		$	6,564		$	251,624
% of Total loans	97.39		%	1.32		%	0.59		%	0.70		%	2.61		%	100.00		%

__________

(1)Loans include unamortized premiums and discounts, and unamortized deferred fees and costs totaling $1.3 billion and $1.1 billion as of June 30, 2021 and December 31, 2020, respectively.

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 June 30, 2021 and December 31, 2020. Nonperforming loans generally include loans that have been placed on nonaccrual status.

Table 3.2: 90+ Day Delinquent Loans Accruing Interest and Nonperforming Loans

	June 30, 2021									December 31, 2020
(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	$	756		N/A			$	0		$	1,169		N/A			$	0
International card businesses	65			$	12		0			82			$	21		0
Total credit card	821			12			0			1,251			21			0
Consumer Banking:
Auto	0			209			0			0			294			0
Retail banking	0			53			20			0			30			0
Total consumer banking	0			262			20			0			324			0
Commercial Banking:
Commercial and multifamily real estate	2			301			249			51			200			184
Commercial and industrial	0			458			280			0			450			265
Total commercial banking	2			759			529			51			650			449
Total	$	823		$	1,033		$	549		$	1,302		$	995		$	449
% of Total loans held for investment	0.3		%	0.4		%	0.2		%	0.5		%	0.4		%	0.2		%

__________

(1)We recognized interest income for loans classified as nonperforming of $3 million and $8 million for the three and six months ended June 30, 2021, respectively, and $5 million and $11 million for the three and six months ended June 30, 2020, respectively.

81 Capital One Financial Corporation (COF)

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 unemployment rates and home values, 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 June 30, 2021 and December 31, 2020.

Table 3.3: Credit Card Delinquency Status

	June 30, 2021						December 31, 2020
(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	$	93,304	$	407	$	93,711	$	95,629	$	487	$	96,116
30-59 days	512		13		525		734		21		755
60-89 days	308		9		317		451		13		464
Greater than 90 days	747		9		756		1,155		14		1,169
Total domestic credit card	94,871		438		95,309		97,969		535		98,504
International card businesses:
Current	5,484		52		5,536		8,152		66		8,218
30-59 days	61		6		67		79		11		90
60-89 days	33		4		37		47		11		58
Greater than 90 days	64		4		68		76		10		86
Total international card businesses	5,642		66		5,708		8,354		98		8,452
Total credit card	$	100,513	$	504	$	101,017	$	106,323	$	633	$	106,956

82 Capital One Financial Corporation (COF)

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, such as unemployment rates, gross domestic product and home values, as well as consumers’ financial condition, all of which can have a material effect on credit performance. The key indicator we monitor 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 June 30, 2021 and December 31, 2020. We present our auto loan portfolio by FICO scores at origination and our retail banking loan portfolio by delinquency status, which includes all past due loans, both performing and nonperforming.

Table 3.4: Consumer Banking Portfolio by Credit Quality Indicator

	June 30, 2021
	Term Loans by Vintage Year
(Dollars in millions)	2021		2020		2019		2018		2017		Prior		Total Term Loans		Revolving Loans		Revolving Loans Converted to Term		Total
Auto—At origination FICO scores:(1)
Greater than 660	$	11,276	$	10,874	$	6,258	$	3,396	$	1,855	$	683	$	34,342	$	0	$	0	$	34,342
621-660	4,130		4,752		2,817		1,496		815		326		14,336		0		0		14,336
620 or below	5,536		7,988		4,960		2,509		1,404		638		23,035		0		0		23,035
Total auto	20,942		23,614		14,035		7,401		4,074		1,647		71,713		0		0		71,713
Retail banking—Delinquency status:
Current	511		745		210		198		195		597		2,456		535		8		2,999
30-59 days	0		0		0		0		0		3		3		18		0		21
60-89 days	0		0		0		0		1		4		5		3		0		8
Greater than 90 days	0		0		0		1		2		4		7		10		1		18
Total retail banking(2)	511		745		210		199		198		608		2,471		566		9		3,046
Total consumer banking	$	21,453	$	24,359	$	14,245	$	7,600	$	4,272	$	2,255	$	74,184	$	566	$	9	$	74,759

83 Capital One Financial Corporation (COF)

	December 31, 2020
	Term Loans by Vintage Year
(Dollars in millions)	2020		2019		2018		2017		2016		Prior		Total Term Loans		Revolving Loans		Revolving Loans Converted to Term		Total
Auto—At origination FICO scores:(1)
Greater than 660	$	13,352	$	8,091	$	4,675	$	2,810	$	1,168	$	203	$	30,299	$	0	$	0	$	30,299
621-660	5,781		3,631		2,003		1,172		488		109		13,184		0		0		13,184
620 or below	9,550		6,298		3,317		1,985		886		243		22,279		0		0		22,279
Total auto	28,683		18,020		9,995		5,967		2,542		555		65,762		0		0		65,762
Retail banking—Delinquency status:
Current	1,041		233		206		222		167		537		2,406		651		7		3,064
30-59 days	0		0		7		1		2		2		12		15		1		28
60-89 days	0		0		1		0		5		4		10		8		1		19
Greater than 90 days	0		0		0		1		1		4		6		9		0		15
Total retail banking(2)	1,041		233		214		224		175		547		2,434		683		9		3,126
Total consumer banking	$	29,724	$	18,253	$	10,209	$	6,191	$	2,717	$	1,102	$	68,196	$	683	$	9	$	68,888

__________

(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.

(2)Includes PPP loans of $1.1 billion and $919 million as of June 30, 2021 and December 31, 2020, respectively.

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 for commercial loans. 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.

84 Capital One Financial Corporation (COF)

The following table presents our commercial banking portfolio of loans held for investment by internal risk ratings as of June 30, 2021 and December 31, 2020. The internal risk rating status includes all past due loans, both performing and nonperforming.

Table 3.5: Commercial Banking Portfolio by Internal Risk Ratings

	June 30, 2021
	Term Loans by Vintage Year
(Dollars in millions)	2021		2020		2019		2018		2017		Prior		Total Term Loans		Revolving Loans		Revolving Loans Converted to Term		Total
Internal risk rating:(1)
Commercial and multifamily real estate
Noncriticized	$	1,636	$	3,437	$	4,331	$	2,956	$	1,025	$	4,838	$	18,223	$	7,983	$	0	$	26,206
Criticized performing	156		291		426		381		310		1,459		3,023		61		25		3,109
Criticized nonperforming	0		0		8		29		10		254		301		0		0		301
Total commercial and multifamily real estate	1,792		3,728		4,765		3,366		1,345		6,551		21,547		8,044		25		29,616
Commercial and industrial
Noncriticized	4,905		8,160		6,730		3,563		2,305		4,001		29,664		11,596		15		41,275
Criticized performing	87		169		844		275		163		200		1,738		734		0		2,472
Criticized nonperforming	47		62		57		74		29		21		290		168		0		458
Total commercial and industrial	5,039		8,391		7,631		3,912		2,497		4,222		31,692		12,498		15		44,205
Total commercial banking(2)	$	6,831	$	12,119	$	12,396	$	7,278	$	3,842	$	10,773	$	53,239	$	20,542	$	40	$	73,821

	December 31, 2020
	Term Loans by Vintage Year
(Dollars in millions)	2020		2019		2018		2017		2016		Prior		Total Term Loans		Revolving Loans		Revolving Loans Converted to Term		Total
Internal risk rating:(1)
Commercial and multifamily real estate
Noncriticized	$	3,791	$	4,932	$	3,232	$	1,437	$	1,649	$	4,904	$	19,945	$	7,114	$	0	$	27,059
Criticized performing	320		446		515		355		391		1,258		3,285		112		25		3,422
Criticized nonperforming	0		11		30		6		3		150		200		0		0		200
Total commercial and multifamily real estate	4,111		5,389		3,777		1,798		2,043		6,312		23,430		7,226		25		30,681
Commercial and industrial
Noncriticized	9,761		7,890		4,043		2,717		1,832		3,034		29,277		11,548		80		40,905
Criticized performing	316		794		521		252		106		215		2,204		1,498		42		3,744
Criticized nonperforming	74		108		25		51		9		0		267		183		0		450
Total commercial and industrial	10,151		8,792		4,589		3,020		1,947		3,249		31,748		13,229		122		45,099
Total commercial banking(2)	$	14,262	$	14,181	$	8,366	$	4,818	$	3,990	$	9,561	$	55,178	$	20,455	$	147	$	75,780

__________

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

(2)Includes PPP loans of $296 million and $238 million as of June 30, 2021 and December 31, 2020, respectively.

85 Capital One Financial Corporation (COF)

Troubled Debt Restructurings

Additional guidance issued by the Federal Banking Agencies and contained in the Coronavirus Aid, Relief, and Economic Security Act provides banking organizations with troubled debt restructurings (“TDRs”) relief for modifications of current borrowers impacted by the COVID-19 pandemic. In adherence with the guidance, we assessed all loan modifications introduced to current borrowers in response to the COVID-19 pandemic through June 30, 2021, that would have been designated as TDRs under our existing policies, and followed guidance that any such eligible loan modifications made on a temporary and good faith basis are not considered TDRs. We consider the impact of all loan modifications, including those classified as TDRs and those offered in response to the COVID-19 pandemic, when estimating the credit quality of our loan portfolio and establishing allowance levels. For our Commercial Banking customers, enrollment in a customer assistance program is also considered in the assignment of an internal risk rating.

Total recorded TDRs were $1.8 billion and $2.1 billion as of June 30, 2021 and December 31, 2020, respectively. TDRs classified as performing in our credit card and consumer banking loan portfolios totaled $1.2 billion and $1.3 billion as of June 30, 2021 and December 31, 2020, respectively. TDRs classified as performing in our commercial banking loan portfolio totaled $243 million and $442 million as of June 30, 2021 and December 31, 2020, respectively. Commitments to lend additional funds on loans modified in TDRs totaled $173 million as of both June 30, 2021 and December 31, 2020.

Loans Modified in TDRs

As part of our loan modification programs to borrowers experiencing financial difficulty, we may provide multiple concessions to minimize our economic loss and improve long-term loan performance and collectability. The following tables present the major modification types, amortized cost amounts and financial effects of loans modified in TDRs during the three and six months ended June 30, 2021 and 2020.

Table 3.6: Troubled Debt Restructurings

			Three Months Ended June 30, 2021
			Reduced Interest Rate				Term Extension
(Dollars in millions)	Total Loans Modified(1)		% of TDR Activity(2)		Average Rate Reduction		% of TDR Activity(2)		Average Term Extension (Months)
Credit Card:
Domestic credit card	$	33	100	%	16.07	%	0	%	0
International card businesses	27		100		27.45		0		0
Total credit card	60		100		21.22		0		0
Consumer Banking:
Auto	65		39		8.62		91		4
Retail banking	1		0		0.00		100		41
Total consumer banking	66		38		8.62		91		4
Commercial Banking:
Commercial and multifamily real estate	0		0		0.00		0		0
Commercial and industrial	34		0		0.00		56		17
Total commercial banking	34		0		0.00		56		17
Total	$	160	53		9.38		49		3

86 Capital One Financial Corporation (COF)

			Six Months Ended June 30, 2021
			Reduced Interest Rate				Term Extension
(Dollars in millions)	Total Loans Modified(1)		% of TDR Activity(2)		Average Rate Reduction		% of TDR Activity(2)		Average Term Extension (Months)
Credit Card:
Domestic credit card	$	77	100	%	16.10	%	0	%	0
International card businesses	66		100		27.62		0		0
Total credit card	143		100		21.43		0		0
Consumer Banking:
Auto	180		36		8.87		94		3
Retail banking	1		31		3.77		69		28
Total consumer banking	181		36		8.85		94		3
Commercial Banking:
Commercial and multifamily real estate	20		0		0.00		100		14
Commercial and industrial	78		0		0.00		38		8
Total commercial banking	98		0		0.00		51		11
Total	$	422	49		8.64		52		3

	Total Loans Modified(1)		Three Months Ended June 30, 2020
			Reduced Interest Rate				Term Extension			Balance Reduction
(Dollars in millions)			% of TDR Activity(2)		Average Rate Reduction		% of TDR Activity(2)		Average Term Extension (Months)	% of TDR Activity(2)		Gross Balance Reduction
Credit Card:
Domestic credit card	$	56	100	%	15.41	%	0	%	0	0	%	$	0
International card businesses	28		100		26.56		0		0	0		0
Total credit card	84		100		19.14		0		0	0		0
Consumer Banking:
Auto	137		5		4.12		95		3	0		0
Retail banking	1		10		8.37		59		4	0		0
Total consumer banking	138		5		4.19		95		3	0		0
Commercial Banking:
Commercial and multifamily real estate	9		0		0.00		100		7	0		0
Commercial and industrial	181		0		0.00		52		8	9		7
Total commercial banking	190		0		0.00		55		8	8		7
Total	$	412	22		17.96		57		5	4		$	7

87 Capital One Financial Corporation (COF)

	Total Loans Modified(1)		Six Months Ended June 30, 2020
			Reduced Interest Rate				Term Extension			Balance Reduction
(Dollars in millions)			% of TDR Activity(2)		Average Rate Reduction		% of TDR Activity(2)		Average Term Extension (Months)	% of TDR Activity(2)		Gross Balance Reduction
Credit Card:
Domestic credit card	$	145	100	%	16.05	%	0	%	0	0	%	$	0
International card businesses	79		100		27.05		0		0	0		0
Total credit card	224		100		19.94		0		0	0		0
Consumer Banking:
Auto	260		12		3.51		95		4	0		0
Retail banking	4		4		11.42		15		4	0		0
Total consumer banking	264		12		3.55		93		4	0		0
Commercial Banking:
Commercial and multifamily real estate	28		0		0.00		100		10	0		0
Commercial and industrial	188		0		0.00		50		8	8		7
Total commercial banking	216		0		0.00		57		9	7		7
Total	$	704	36		17.90		52		5	2		$	7

__________

(1)Represents the amortized cost of total loans modified in TDRs at the end of the period in which they were modified. As not every modification type is included in the table above, the total percentage of TDR activity may not add up to 100%. Some loans may receive more than one type of concession as part of the modification.

(2)Due to multiple concessions granted to some troubled borrowers, percentages may total more than 100% for certain loan types.

88 Capital One Financial Corporation (COF)

Subsequent Defaults of Completed TDR Modifications

The following table presents the type, number and amortized cost of loans modified in TDRs that experienced a default during the period and had completed a modification event in the twelve months prior to the default. A default occurs if the loan is either 90 days or more delinquent, has been charged off as of the end of the period presented or has been reclassified from accrual to nonaccrual status.

Table 3.7: TDRs—Subsequent Defaults

	Three Months Ended June 30,						Six Months Ended June 30,
	2021			2020			2021			2020
(Dollars in millions)	Number of Contracts	Amount		Number of Contracts	Amount		Number of Contracts	Amount		Number of Contracts	Amount
Credit Card:
Domestic credit card	4,226	$	8	9,582	$	21	9,360	$	18	20,468	$	43
International card businesses	14,827	23		17,508	25		32,029	51		35,365	51
Total credit card	19,053	31		27,090	46		41,389	69		55,833	94
Consumer Banking:
Auto	2,271	35		860	11		4,302	64		2,135	27
Retail banking	3	0		3	0		8	0		4	0
Total consumer banking	2,274	35		863	11		4,310	64		2,139	27
Commercial Banking:
Commercial and multifamily real estate	1	50		0	0		1	50		0	0
Commercial and industrial	6	82		1	21		6	82		7	49
Total commercial banking	7	132		1	21		7	132		7	49
Total	21,334	$	198	27,954	$	78	45,706	$	265	57,979	$	170

Loans Pledged

We pledged loan collateral of $11.6 billion and $14.1 billion to secure the majority of our FHLB borrowing capacity of $19.2 billion and $19.6 billion as of June 30, 2021 and December 31, 2020, respectively. We also pledged loan collateral of $26.9 billion and $25.5 billion to secure our Federal Reserve Discount Window borrowing capacity of $21.3 billion and $20.0 billion as of June 30, 2021 and December 31, 2020, respectively. In addition to loans pledged, we have securitized a portion of our credit card and auto loan portfolios. See “Note 5—Variable Interest Entities and Securitizations” for additional information.

Revolving Loans Converted to Term Loans

For the three and six months ended June 30, 2021, we converted $38 million and $135 million of revolving loans to term loans, respectively, primarily in our domestic credit card and commercial banking loan portfolios. For the three and six months ended June 30, 2020, we converted $89 million and $249 million of revolving loans to term loans, respectively, primarily in our domestic credit card loan portfolio.

89 Capital One Financial Corporation (COF)

NOTE 4—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. 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. 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. Significant judgment is applied in our estimation of lifetime 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 “Note 1—Summary of Significant Accounting Policies” in our 2020 Form 10-K for further discussion of the methodology and policy 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 six months ended June 30, 2021 and 2020. Our allowance for credit losses decreased by $3.2 billion to $12.3 billion as of June 30, 2021 from December 31, 2020, primarily driven by strong credit performance and an improved economic outlook.

90 Capital One Financial Corporation (COF)

Table 4.1: Allowance for Credit Losses and Reserve for Unfunded Lending Commitments Activity

	Three Months Ended June 30, 2021
(Dollars in millions)	Credit Card		Consumer Banking		Commercial Banking		Total
Allowance for credit losses:
Balance as of March 31, 2021	$	10,072	$	2,498	$	1,447	$	14,017
Charge-offs	(967)		(260)		(8)		(1,235)
Recoveries(1)	396		271		27		694
Net recoveries (charge-offs)	(571)		11		19		(541)
Provision (benefit) for credit losses	(635)		(306)		(196)		(1,137)
Allowance build (release) for credit losses	(1,206)		(295)		(177)		(1,678)
Other changes(2)	7		0		0		7
Balance as of June 30, 2021	8,873		2,203		1,270		12,346
Reserve for unfunded lending commitments:
Balance as of March 31, 2021	0		0		187		187
Provision (benefit) for losses on unfunded lending commitments	0		0		(23)		(23)
Balance as of June 30, 2021	0		0		164		164
Combined allowance and reserve as of June 30, 2021	$	8,873	$	2,203	$	1,434	$	12,510

	Six Months Ended June 30, 2021
(Dollars in millions)	Credit Card		Consumer Banking		Commercial Banking		Total
Allowance for credit losses:
Balance as of December 31, 2020	$	11,191	$	2,715	$	1,658	$	15,564
Charge-offs	(1,960)		(602)		(27)		(2,589)
Recoveries(1)	756		522		30		1,308
Net recoveries (charge-offs)	(1,204)		(80)		3		(1,281)
Provision (benefit) for credit losses	(1,127)		(432)		(391)		(1,950)
Allowance build (release) for credit losses	(2,331)		(512)		(388)		(3,231)
Other changes(2)	13		0		0		13
Balance as of June 30, 2021	8,873		2,203		1,270		12,346
Reserve for unfunded lending commitments:
Balance as of December 31, 2020	0		0		195		195
Provision (benefit) for losses on unfunded lending commitments	0		0		(31)		(31)
Balance as of June 30, 2021	0		0		164		164
Combined allowance and reserve as of June 30, 2021	$	8,873	$	2,203	$	1,434	$	12,510

91 Capital One Financial Corporation (COF)

	Three Months Ended June 30, 2020
(Dollars in millions)	Credit Card		Consumer Banking		Commercial Banking		Total
Allowance for credit losses:
Balance as of March 31, 2020	$	10,346	$	2,154	$	1,573	$	14,073
Charge-offs	(1,612)		(416)		(103)		(2,131)
Recoveries(1)	401		224		1		626
Net charge-offs	(1,211)		(192)		(102)		(1,505)
Provision (benefit) for credit losses	2,944		876		432		4,252
Allowance build (release) for credit losses	1,733		684		330		2,747
Other changes(2)	12		0		0		12
Balance as of June 30, 2020	12,091		2,838		1,903		16,832
Reserve for unfunded lending commitments:
Balance as of March 31, 2020	0		0		223		223
Provision (benefit) for losses on unfunded lending commitments	0		0		(5)		(5)
Balance as of June 30, 2020	0		0		218		218
Combined allowance and reserve as of June 30, 2020	$	12,091	$	2,838	$	2,121	$	17,050

	Six Months Ended June 30, 2020
(Dollars in millions)	Credit Card		Consumer Banking		Commercial Banking		Total
Allowance for credit losses:
Balance as of December 31, 2019	$	5,395	$	1,038	$	775	$	7,208
Cumulative effects from adoption of the CECL standard	2,241		502		102		2,845
Finance charge and fee reserve reclassification(3)	462		0		0		462
Balance as of January 1, 2020	8,098		1,540		877		10,515
Charge-offs	(3,461)		(912)		(215)		(4,588)
Recoveries(1)	814		474		4		1,292
Net charge-offs	(2,647)		(438)		(211)		(3,296)
Provision (benefit) for credit losses	6,646		1,736		1,237		9,619
Allowance build (release) for credit losses	3,999		1,298		1,026		6,323
Other changes(2)	(6)		0		0		(6)
Balance as of June 30, 2020	12,091		2,838		1,903		16,832
Reserve for unfunded lending commitments:
Balance as of December 31, 2019	0		5		130		135
Cumulative effects from adoption of the CECL standard	0		(5)		42		37
Balance as of January 1, 2020	0		0		172		172
Provision (benefit) for losses on unfunded lending commitments	0		0		46		46
Balance as of June 30, 2020	0		0		218		218
Combined allowance and reserve as of June 30, 2020	$	12,091	$	2,838	$	2,121	$	17,050

__________

(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)Represents foreign currency translation adjustments.

(3)Concurrent with our adoption of the CECL standard in the first quarter of 2020, we reclassified our finance charge and fee reserve to our allowance for credit losses, with a corresponding increase to credit card loans held for investment.

92 Capital One Financial Corporation (COF)

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 to net charge-offs and the provision for credit losses. See “Note 1—Summary of Significant Accounting Policies” in our 2020 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 six months ended June 30, 2021 and 2020.

Table 4.2: Summary of Credit Card Partnership Loss Sharing Arrangements Impacts

	Three Months Ended June 30,
(Dollars in millions)	2021		2020
Estimated reimbursements from partners, beginning of period	$	2,005	$	2,653
Amounts due from partners which reduced net charge-offs	(128)		(293)
Amounts estimated to be charged (from) to partners which reduced provision for credit losses	(166)		73
Estimated reimbursements from partners, end of period	$	1,711	$	2,433

	Six Months Ended June 30,
(Dollars in millions)	2021		2020
Estimated reimbursements from partners, beginning of period	$	2,159	$	2,166
Amounts due from partners which reduced net charge-offs	(269)		(595)
Amounts estimated to be charged (from) to partners which reduced provision for credit losses	(179)		862
Estimated reimbursements from partners, end of period	$	1,711	$	2,433

93 Capital One Financial Corporation (COF)

NOTE 5—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 have provided a source of funding for us and enabled 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 our maximum 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 June 30, 2021 and December 31, 2020. We separately present information for consolidated and unconsolidated VIEs.

Table 5.1: Carrying Amount of Consolidated and Unconsolidated VIEs

	June 30, 2021
	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)	$	20,671	$	9,115	$	0	$	0	$	0
Auto loan securitizations	1,768		1,509		0		0		0
Total securitization-related VIEs	22,439		10,624		0		0		0
Other VIEs:(3)
Affordable housing entities	272		31		4,763		1,427		4,763
Entities that provide capital to low-income and rural communities	2,035		26		0		0		0
Other	0		0		411		0		411
Total other VIEs	2,307		57		5,174		1,427		5,174
Total VIEs	$	24,746	$	10,681	$	5,174	$	1,427	$	5,174

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	December 31, 2020
	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)	$	22,066	$	10,338	$	0	$	0	$	0
Auto loan securitizations	2,360		2,055		0		0		0
Total securitization-related VIEs	24,426		12,393		0		0		0
Other VIEs:(3)
Affordable housing entities	242		17		4,602		1,240		4,602
Entities that provide capital to low-income and rural communities	1,951		26		0		0		0
Other	0		0		436		0		436
Total other VIEs	2,193		43		5,038		1,240		5,038
Total VIEs	$	26,619	$	12,436	$	5,038	$	1,240	$	5,038

__________

(1)Excludes insignificant VIEs from previously exited businesses.

(2)Represents the carrying amount of assets and liabilities owned by 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 in turn 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 $2.2 billion of assets and $606 million of liabilities as of June 30, 2021, and $2.3 billion of assets and $596 million of liabilities as of December 31, 2020.

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 enterprise (“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 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 us. 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 6—Goodwill and Intangible Assets” for information related to our MSRs associated with these securitizations and “Note 2—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 also excluded these VIEs from the tables presented in this note. See “Note 3—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 June 30, 2021 and December 31, 2020.

Table 5.2: Continuing Involvement in Securitization-Related VIEs

(Dollars in millions)	Credit Card		Auto
June 30, 2021:
Securities held by third-party investors	$	9,054	$	1,507
Receivables in the trust	21,803		1,664
Cash balance of spread or reserve accounts	0		10
Retained interests	Yes		Yes
Servicing retained	Yes		Yes
December 31, 2020:
Securities held by third-party investors	$	10,361	$	2,053
Receivables in the trust	23,683		2,243
Cash balance of spread or reserve accounts	0		10
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 securitization involves 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. 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 certain investments in qualified affordable housing projects using the proportional amortization method if certain criteria are met. The proportional amortization method amortizes the cost of the investment 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 six months ended June 30, 2021 and June 30, 2020, we recognized amortization of $317 million and $285 million, respectively, and tax credits of $423 million and $622 million, respectively, associated with these investments within income tax provision or benefit. The carrying value of our equity investments in these qualified affordable housing projects was $4.6 billion and $4.5 billion as of June 30, 2021 and December 31, 2020, respectively. We are periodically required to provide additional financial or other support during the period of the investments. Our liability for these unfunded

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commitments was $1.6 billion and $1.5 billion as of June 30, 2021 and December 31, 2020, respectively, and is largely expected to be paid from 2021 to 2023.

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 $4.8 billion and $4.6 billion as of June 30, 2021 and December 31, 2020, 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 $11.6 billion and $11.0 billion as of June 30, 2021 and December 31, 2020, 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 be potentially 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 $2.0 billion as of both June 30, 2021 and December 31, 2020 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 were 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 $411 million and $436 million as of June 30, 2021 and December 31, 2020, 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.

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NOTE 6—GOODWILL AND INTANGIBLE ASSETS

The table below presents our goodwill, intangible assets and MSRs as of June 30, 2021 and December 31, 2020. Goodwill is presented separately, while intangible assets and MSRs are included in other assets on our consolidated balance sheets.

Table 6.1: Components of Goodwill, Intangible Assets and MSRs

	June 30, 2021
(Dollars in millions)	Carrying Amount of Assets		Accumulated Amortization		Net Carrying Amount
Goodwill	$	14,654	N/A		$	14,654
Intangible assets:
Purchased credit card relationship (“PCCR”) intangibles	148		$	(139)	9
Other(1)	183		(112)		71
Total intangible assets	331		(251)		80
Total goodwill and intangible assets	$	14,985	$	(251)	$	14,734
Commercial MSRs(2)	$	582	$	(189)	$	393
	December 31, 2020
(Dollars in millions)	Carrying Amount of Assets		Accumulated Amortization		Net Carrying Amount
Goodwill	$	14,653	N/A		$	14,653
Intangible assets:
PCCR intangibles	148		$	(138)	10
Other(1)	248		(168)		80
Total intangible assets	396		(306)		90
Total goodwill and intangible assets	$	15,049	$	(306)	$	14,743
Commercial MSRs(2)	$	542	$	(175)	$	367

__________

(1)Primarily consists of intangibles for sponsorship, customer and merchant relationships, partnership, trade name and other contract intangibles.

(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 $5 million and $11 million for the three and six months ended June 30, 2021, respectively, and $16 million and $38 million for the three and six months ended June 30, 2020, respectively.

Goodwill

The following table presents changes in carrying amount of goodwill by each of our business segments as of June 30, 2021 and December 31, 2020.

Table 6.2: Goodwill by Business Segments

(Dollars in millions)	Credit Card		Consumer Banking		Commercial Banking		Total
Balance as of December 31, 2020	$	5,088	$	4,645	$	4,920	$	14,653
Other adjustments(1)	1		0		0		1
Balance as of June 30, 2021	$	5,089	$	4,645	$	4,920	$	14,654

__________

(1)Represents foreign currency translation adjustments.

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NOTE 7—DEPOSITS AND BORROWINGS

Our deposits represent our largest source of funding for our assets and operations, which include checking accounts, money market deposits, negotiable order of withdrawals, savings deposits and time deposits. 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 and securities loaned or sold under agreements to repurchase. 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 June 30, 2021 and December 31, 2020. The carrying value presented below for these borrowings includes unamortized debt premiums and discounts, net of debt issuance costs and fair value hedge accounting adjustments.

Table 7.1: Components of Deposits, Short-Term Borrowings and Long-Term Debt

(Dollars in millions)	June 30, 2021		December 31, 2020
Deposits:
Non-interest-bearing deposits	$	34,994	$	31,142
Interest-bearing deposits(1)	271,314		274,300
Total deposits	$	306,308	$	305,442
Short-term borrowings:
Federal funds purchased and securities loaned or sold under agreements to repurchase	$	845	$	668
Total short-term borrowings	$	845	$	668

	June 30, 2021						December 31, 2020
(Dollars in millions)	Maturity Dates	Stated Interest Rates	Weighted-Average Interest Rate		Carrying Value		Carrying Value
Long-term debt:
Securitized debt obligations	2021-2026	0.42% - 2.84%	1.85	%	$	10,561	$	12,414
Senior and subordinated notes:
Fixed unsecured senior debt(2)	2021-2029	0.80 - 4.75	3.20		18,883		21,045
Floating unsecured senior debt	2022-2023	0.91 - 1.34	1.09		1,359		1,609
Total unsecured senior debt			3.06		20,242		22,654
Fixed unsecured subordinated debt	2023-2026	3.38 - 4.20	3.78		4,636		4,728
Total senior and subordinated notes					24,878		27,382
Other long-term borrowings:
Finance lease liabilities	2021-2031	0.25 - 9.91	4.07		59		75
Total other long-term borrowings					59		75
Total long-term debt					$	35,498	$	39,871
Total short-term borrowings and long-term debt					$	36,343	$	40,539

__________

(1)Includes $2.1 billion and $4.2 billion of time deposits in denominations in excess of the $250,000 federal insurance limit as of June 30, 2021 and December 31, 2020, respectively.

(2)Includes $1.5 billion and $1.6 billion of EUR-denominated unsecured notes as of June 30, 2021 and December 31, 2020, respectively.

99 Capital One Financial Corporation (COF)

NOTE 8—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 exposures denominated in foreign currencies. We primarily use interest rate and foreign currency swaps to hedge, 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 then enter into derivative contracts with counterparties to economically hedge substantially all of our subsequent exposures.

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. Our fair value hedges primarily consist of interest rate swaps that are intended to modify our exposure to interest rate risk on various fixed-rate financial assets and liabilities.

•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 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. Our cash flow hedges use interest rate swaps and floors that are intended to hedge the variability in interest receipts or interest payments on some of our variable-rate financial assets or liabilities. 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.

100 Capital One Financial Corporation (COF)

Derivatives Counterparty Credit Risk

Counterparty Types

Derivative instruments contain an element of credit risk that arises 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 arrangements, where possible, and exchanging collateral with our counterparties, typically in the form of cash or high-quality liquid securities. The amount of collateral exchanged 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. 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 cash collateral received or pledged. See Table 8.3 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. 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 upfront by CCPs as collateral against potential losses on our 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, we characterize variation margin cash payments 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 legally enforceable master netting agreements and collateral agreements, where possible, with bilateral derivative counterparties to mitigate the risk of default. We review our collateral positions on a daily basis and exchange collateral with our counterparties in accordance with these agreements. 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 derivative instruments 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.

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.

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Balance Sheet Presentation

The following table summarizes the notional amounts and fair values of our derivative instruments as of June 30, 2021 and December 31, 2020, 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 8.1: Derivative Assets and Liabilities at Fair Value

	June 30, 2021						December 31, 2020
	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	$	44,361	$	5	$	7	$	47,349	$	9	$	10
Cash flow hedges	86,900		481		12		82,150		748		1
Total interest rate contracts	131,261		486		19		129,499		757		11
Foreign exchange contracts:
Fair value hedges	1,482		83		0		1,527		164		0
Cash flow hedges	4,233		35		33		4,582		0		161
Net investment hedges	3,397		0		144		3,116		0		196
Total foreign exchange contracts	9,112		118		177		9,225		164		357
Total derivatives designated as accounting hedges	140,373		604		196		138,724		921		368
Derivatives not designated as accounting hedges:
Customer accommodation:
Interest rate contracts	68,537		935		173		68,459		1,429		198
Commodity contracts	16,776		2,093		1,963		16,871		935		820
Foreign exchange and other contracts	4,450		39		31		4,677		58		70
Total customer accommodation	89,763		3,067		2,167		90,007		2,422		1,088
Other interest rate exposures(2)	1,209		45		46		1,770		71		56
Other contracts	1,988		0		1		1,826		1		6
Total derivatives not designated as accounting hedges	92,960		3,112		2,214		93,603		2,494		1,150
Total derivatives	$	233,333	$	3,716	$	2,410	$	232,327	$	3,415	$	1,518
Less: netting adjustment(3)			(964)		(850)				(1,148)		(739)
Total derivative assets/liabilities			$	2,752	$	1,560			$	2,267	$	779

__________

(1)Does not reflect $23 million and $31 million recognized as a net valuation allowance on derivative assets and liabilities for non-performance risk as of June 30, 2021 and December 31, 2020, respectively. Non-performance risk is included in derivative assets and liabilities, which are 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.

(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.

102 Capital One Financial Corporation (COF)

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 June 30, 2021 and December 31, 2020.

Table 8.2: Hedged Items in Fair Value Hedging Relationships

	June 30, 2021						December 31, 2020
	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)	$	9,936	$	467	$	188	$	9,797	$	590	$	200
Interest-bearing deposits	(9,882)		(124)		0		(11,312)		(213)		0
Securitized debt obligations	(6,926)		(84)		9		(7,609)		(171)		20
Senior and subordinated notes	(20,267)		(879)		(597)		(21,927)		(1,282)		(666)

__________

(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 $249 million, the amount of the designated hedged items was $225 million, and the cumulative basis adjustments associated with these hedges was $1 million as of June 30, 2021. We had no such hedging relationships as of December 31, 2020.

(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 arrangements 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 arrangements for balance sheet presentation where a right of setoff exists. For derivative contracts entered into under master netting arrangements for which we have not been able to confirm the enforceability of the setoff rights, or those not subject to master netting arrangements, 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 June 30, 2021 and December 31, 2020. 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.

103 Capital One Financial Corporation (COF)

Table 8.3: 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 June 30, 2021
Derivative assets(1)	$	3,716	$	(441)	$	(523)	$	2,752	$	0	$	2,752
As of December 31, 2020
Derivative assets(1)	3,415		(383)		(765)		2,267		0		2,267

	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 June 30, 2021
Derivative liabilities(1)	$	2,410	$	(441)	$	(409)	$	1,560	$	0	$	1,560
Repurchase agreements(2)	845		0		0		845		(845)		0
As of December 31, 2020
Derivative liabilities(1)	1,518		(383)		(356)		779		0		779
Repurchase agreements(2)	668		0		0		668		(668)		0

__________

(1)We received cash collateral from derivative counterparties totaling $574 million and $862 million as of June 30, 2021 and December 31, 2020, respectively. We also received securities from derivative counterparties with a fair value of approximately $1 million as of both June 30, 2021 and December 31, 2020, respectively, which we have the ability to re-pledge. We posted $2.1 billion and $1.5 billion of cash collateral as of June 30, 2021 and December 31, 2020, respectively.

(2)Under our customer repurchase agreements, which mature the next business day, we pledged collateral with a fair value of $862 million and $682 million as of June 30, 2021 and December 31, 2020, respectively, primarily consisting of agency RMBS securities.

104 Capital One Financial Corporation (COF)

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 six months ended June 30, 2021 and 2020.

Table 8.4: Effects of Fair Value and Cash Flow Hedge Accounting

	Three Months Ended June 30, 2021
	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	$	370	$	5,753	$	16	$	(237)	$	(28)	$	(122)	$	231
Fair value hedging relationships:
Interest rate and foreign exchange contracts:
Interest recognized on derivatives	$	(25)	$	0	$	0	$	34	$	30	$	56	$	0
Gains (losses) recognized on derivatives	11		0		0		(31)		(17)		0		16
Gains (losses) recognized on hedged items(1)	(18)		0		0		31		11		33		(16)
Excluded component of fair value hedges(2)	0		0		0		0		0		0		0
Net income (expense) recognized on fair value hedges	$	(32)	$	0	$	0	$	34	$	24	$	89	$	0
Cash flow hedging relationships:(3)
Interest rate contracts:
Realized gains (losses) reclassified from AOCI into net income	$	11	$	234	$	0	$	0	$	0	$	0	$	0
Foreign exchange contracts:
Realized gains (losses) reclassified from AOCI into net income(4)	0		0		0		0		0		0		1
Net income (expense) recognized on cash flow hedges	$	11	$	234	$	0	$	0	$	0	$	0	$	1

105 Capital One Financial Corporation (COF)

	Six Months Ended June 30, 2021
	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	$	761	$	11,607	$	32	$	(506)	$	(60)	$	(251)	$	349
Fair value hedging relationships:
Interest rate and foreign exchange contracts:
Interest recognized on derivatives	$	(50)	$	0	$	0	$	70	$	63	$	118	$	0
Gains (losses) recognized on derivatives	111		0		0		(89)		(97)		(336)		(45)
Gains (losses) recognized on hedged items(1)	(123)		0		0		89		86		401		45
Excluded component of fair value hedges(2)	0		0		0		0		0		(1)		0
Net income (expense) recognized on fair value hedges	$	(62)	$	0	$	0	$	70	$	52	$	182	$	0
Cash flow hedging relationships:(3)
Interest rate contracts:
Realized gains (losses) reclassified from AOCI into net income	$	20	$	460	$	0	$	0	$	0	$	0	$	0
Foreign exchange contracts:
Realized gains (losses) reclassified from AOCI into net income(4)	0		0		1		0		0		0		1
Net income (expense) recognized on cash flow hedges	$	20	$	460	$	1	$	0	$	0	$	0	$	1

106 Capital One Financial Corporation (COF)

	Three Months Ended June 30, 2020
	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	$	482	$	5,820	$	16	$	(611)	$	(56)	$	(180)	$	166
Fair value hedging relationships:
Interest rate and foreign exchange contracts:
Interest recognized on derivatives	$	(17)	$	0	$	0	$	27	$	40	$	71	$	0
Gains (losses) recognized on derivatives	(26)		0		0		9		(13)		61		26
Gains (losses) recognized on hedged items(1)	22		0		0		(10)		0		(68)		(26)
Excluded component of fair value hedges(2)	0		0		0		0		0		0		0
Net income (expense) recognized on fair value hedges	$	(21)	$	0	$	0	$	26	$	27	$	64	$	0
Cash flow hedging relationships:(3)
Interest rate contracts:
Realized gains (losses) reclassified from AOCI into net income	$	7	$	135	$	0	$	0	$	0	$	0	$	0
Foreign exchange contracts:
Realized gains (losses) reclassified from AOCI into net income(4)	0		0		2		0		0		0		(2)
Net income (expense) recognized on cash flow hedges	$	7	$	135	$	2	$	0	$	0	$	0	$	(2)

107 Capital One Financial Corporation (COF)

	Six Months Ended June 30, 2020
	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	$	1,012	$	12,362	$	53	$	(1,342)	$	(155)	$	(419)	$	311
Fair value hedging relationships:
Interest rate and foreign exchange contracts:
Interest recognized on derivatives	$	(28)	$	0	$	0	$	25	$	52	$	110	$	0
Gains (losses) recognized on derivatives	(364)		0		0		296		269		1,129		3
Gains (losses) recognized on hedged items(1)	360		0		0		(296)		(292)		(1,159)		(3)
Excluded component of fair value hedges(2)	0		0		0		0		0		(1)		0
Net income (expense) recognized on fair value hedges	$	(32)	$	0	$	0	$	25	$	29	$	79	$	0
Cash flow hedging relationships:(3)
Interest rate contracts:
Realized gains reclassified from AOCI into net income	$	9	$	159	$	0	$	0	$	0	$	0	$	0
Foreign exchange contracts:
Realized gains (losses) reclassified from AOCI into net income(4)	0		0		9		0		0		0		(2)
Net income (expense) recognized on cash flow hedges	$	9	$	159	$	9	$	0	$	0	$	0	$	(2)

_________

(1)Includes amortization benefit of $22 million and $44 million for the three and six months ended June 30, 2021, respectively, and amortization expense of $17 million and $53 million, respectively, for the three and six months ended June 30, 2020, 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. The initial value of the excluded component is recognized in earnings over the life of the swap under the amortization approach.

(3)See “Note 9—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 gain of $77 million and $162 million for the three and six months ended June 30, 2021, respectively, and a loss of $299 million and a gain of $93 million for the three and six months ended June 30, 2020, 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 net after-tax gains of $507 million recorded in AOCI as of June 30, 2021. These amounts will offset the cash flows associated with the hedged forecasted transactions. The maximum length of time over which forecasted transactions were hedged was approximately 6.7 years as of June 30, 2021. 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.

108 Capital One Financial Corporation (COF)

Free-Standing Derivatives

The net impacts to our consolidated statements of income related to free-standing derivatives are presented below for the three and six months ended June 30, 2021 and 2020. These gains or losses are recognized in other non-interest income on our consolidated statements of income.

Table 8.5: Gains (Losses) on Free-Standing Derivatives

	Three Months Ended June 30,				Six Months Ended June 30,
(Dollars in millions)	2021		2020		2021		2020
Gains (losses) recognized in other non-interest income:
Customer accommodation:
Interest rate contracts	$	8	$	(1)	$	18	$	12
Commodity contracts	4		(1)		9		16
Foreign exchange and other contracts	4		1		8		4
Total customer accommodation	16		(1)		35		32
Other interest rate exposures	(27)		(34)		(16)		(16)
Other contracts	(1)		1		(1)		0
Total	$	(12)	$	(34)	$	18	$	16

109 Capital One Financial Corporation (COF)

NOTE 9—STOCKHOLDERS’ EQUITY

Preferred Stock

The following table summarizes our preferred stock outstanding as of June 30, 2021 and December 31, 2020.

Table 9.1: Preferred Stock Outstanding(1)

			Redeemable by Issuer Beginning	Per Annum Dividend Rate	Dividend Frequency	Liquidation Preference per Share		Total Shares Outstanding as of June 30, 2021	Carrying Value (in millions)
Series	Description	Issuance Date							June 30, 2021		December 31, 2020
Series E	Fixed-to-Floating Rate Non-Cumulative	May 14, 2015	June 1, 2020	5.550% through 5/31/2020; 3-mo. LIBOR + 380 bps thereafter	Semi-Annually through 5/31/2020; Quarterly thereafter	$	1,000	1,000,000	$	988	$	988
Series G	5.200% Non-Cumulative	July 29, 2016	December 1, 2021	5.200	Quarterly	1,000		600,000	583		583
Series H	6.000% Non-Cumulative	November 29, 2016	December 1, 2021	6.000	Quarterly	1,000		500,000	483		483
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	653		0
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 +3.157%	Quarterly	1,000		1,000,000	988		0
Total									$	6,488	$	4,847

__________

(1)Except for Series E and 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 includes the AOCI impacts from the adoption of the CECL standard and the changes in AOCI by component for the three and six months ended June 30, 2021 and 2020.

110 Capital One Financial Corporation (COF)

Table 9.2: AOCI

	Three Months Ended June 30, 2021
(Dollars in millions)	Securities Available for Sale		Hedging Relationships(1)		Foreign Currency Translation Adjustments(2)		Other		Total
AOCI as of March 31, 2021	$	1,038	$	781	$	(12)	$	(24)	$	1,783
Other comprehensive income (loss) before reclassifications	51		193		9		0		253
Amounts reclassified from AOCI into earnings	0		(244)		0		0		(244)
Other comprehensive income (loss), net of tax	51		(51)		9		0		9
AOCI as of June 30, 2021	$	1,089	$	730	$	(3)	$	(24)	$	1,792

	Six Months Ended June 30, 2021
(Dollars in millions)	Securities Available for Sale		Hedging Relationships(1)		Foreign Currency Translation Adjustments(2)		Other		Total
AOCI as of December 31, 2020	$	2,186	$	1,362	$	(31)	$	(23)	$	3,494
Other comprehensive income (loss) before reclassifications	(1,094)		(145)		28		0		(1,211)
Amounts reclassified from AOCI into earnings	(3)		(487)		0		(1)		(491)
Other comprehensive income (loss), net of tax	(1,097)		(632)		28		(1)		(1,702)
AOCI as of June 30, 2021	$	1,089	$	730	$	(3)	$	(24)	$	1,792

	Three Months Ended June 30, 2020
(Dollars in millions)	Securities Available for Sale		Hedging Relationships(1)		Foreign Currency Translation Adjustments(2)		Other		Total
AOCI as of March 31, 2020	$	2,151	$	1,728	$	(174)	$	(26)	$	3,679
Other comprehensive income (loss) before reclassifications	222		(60)		23		0		185
Amounts reclassified from AOCI into earnings	0		117		0		0		117
Other comprehensive income, net of tax	222		57		23		0		302
AOCI as of June 30, 2020	$	2,373	$	1,785	$	(151)	$	(26)	$	3,981

	Six Months Ended June 30, 2020
(Dollars in millions)	Securities Available for Sale		Hedging Relationships(1)		Foreign Currency Translation Adjustments(2)		Other		Total
AOCI as of December 31, 2019	$	935	$	354	$	(107)	$	(26)	$	1,156
Cumulative effects from the adoption of the CECL standard	(8)		0		0		0		(8)
Other comprehensive income (loss) before reclassifications	1,446		1,635		(44)		0		3,037
Amounts reclassified from AOCI into earnings	0		(204)		0		0		(204)
Other comprehensive income (loss), net of tax	1,446		1,431		(44)		0		2,833
AOCI as of June 30, 2020	$	2,373	$	1,785	$	(151)	$	(26)	$	3,981

__________

(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 loss of $13 million and $34 million for the three and six months ended June 30, 2021, respectively, and other comprehensive loss of $8 million and gain of $134 million for the three and six months ended June 30, 2020, respectively, from hedging instruments designated as net investment hedges.

111 Capital One Financial Corporation (COF)

The following table presents amounts reclassified from each component of AOCI to our consolidated statements of income for the three and six months ended June 30, 2021 and 2020.

Table 9.3: Reclassifications from AOCI

(Dollars in millions)		Three Months Ended June 30,				Six Months Ended June 30,
AOCI Components	Affected Income Statement Line Item	2021		2020		2021		2020
Securities available for sale:
	Non-interest income	$	0	$	0	$	4	$	0
	Income tax provision	0		0		1		0
	Net income	0		0		3		0
Hedging relationships:
Interest rate contracts:	Interest income	245		142		480		168
Foreign exchange contracts:	Interest income	0		2		1		9
	Interest expense	(1)		(1)		(2)		(2)
	Non-interest income	77		(299)		162		93
	Income (loss) from continuing operations before income taxes	321		(156)		641		268
	Income tax provision (benefit)	77		(39)		154		64
	Net income (loss)	244		(117)		487		204
Other:
	Non-interest income and non-interest expense	0		0		1		0
	Income tax provision	0		0		0		0
	Net income	0		0		1		0
Total reclassifications		$	244	$	(117)	$	491	$	204

112 Capital One Financial Corporation (COF)

The table below summarizes other comprehensive income (loss) activity and the related tax impact for the three and six months ended June 30, 2021 and 2020.

Table 9.4: Other Comprehensive Income (Loss)

	Three Months Ended June 30,
	2021						2020
(Dollars in millions)	Before Tax		Provision (Benefit)		After Tax		Before Tax		Provision (Benefit)		After Tax
Other comprehensive income (loss):
Net unrealized gains on securities available for sale	$	66	$	15	$	51	$	292	$	70	$	222
Net unrealized gains (losses) on hedging relationships	(68)		(17)		(51)		76		19		57
Foreign currency translation adjustments(1)	4		(5)		9		20		(3)		23
Other	0		0		0		0		0		0
Other comprehensive income (loss)	$	2	$	(7)	$	9	$	388	$	86	$	302

	Six Months Ended June 30,
	2021						2020
(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	$	(1,446)	$	(349)	$	(1,097)	$	1,902	$	456	$	1,446
Net unrealized gains (losses) on hedging relationships	(834)		(202)		(632)		1,884		453		1,431
Foreign currency translation adjustments(1)	17		(11)		28		(1)		43		(44)
Other	(1)		0		(1)		0		0		0
Other comprehensive income (loss)	$	(2,264)	$	(562)	$	(1,702)	$	3,785	$	952	$	2,833

__________

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

113 Capital One Financial Corporation (COF)

NOTE 10—EARNINGS PER COMMON SHARE

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

Table 10.1: Computation of Basic and Diluted Earnings per Common Share

	Three Months Ended June 30,				Six Months Ended June 30,
(Dollars and shares in millions, except per share data)	2021		2020		2021		2020
Income (loss) from continuing operations, net of tax	$	3,537	$	(917)	$	6,864	$	(2,257)
Loss from discontinued operations, net of tax	(1)		(1)		(3)		(1)
Net income (loss)	3,536		(918)		6,861		(2,258)
Dividends and undistributed earnings allocated to participating securities	(30)		(1)		(58)		(4)
Preferred stock dividends	(60)		(90)		(121)		(145)
Issuance cost for redeemed preferred stock	0		0		0		(22)
Net income (loss) available to common stockholders	$	3,446	$	(1,009)	$	6,682	$	(2,429)
Total weighted-average basic common shares outstanding	450.6		456.7		454.6		457.1
Effect of dilutive securities:(1)
Stock options	0.8		0.0		0.8		0.0
Other contingently issuable shares	0.9		0.0		0.8		0.0
Total effect of dilutive securities	1.7		0.0		1.6		0.0
Total weighted-average diluted common shares outstanding	452.3		456.7		456.2		457.1
Basic earnings per common share:
Net income (loss) from continuing operations	$	7.65	$	(2.21)	$	14.70	$	(5.31)
Net income (loss) per basic common share	$	7.65	$	(2.21)	$	14.70	$	(5.31)
Diluted earnings per common share:(1)
Net income (loss) from continuing operations	$	7.62	$	(2.21)	$	14.65	$	(5.31)
Net income (loss) per diluted common share	$	7.62	$	(2.21)	$	14.65	$	(5.31)

__________

(1)For the three months ended June 30, 2021, no shares were excluded from the computation of diluted earnings per share. For the six months ended June 30, 2021, awards of 51 thousand shares were excluded from the computation of diluted earnings per share because their inclusion would be anti-dilutive. In periods of net loss available to common stockholders, dilutive securities are excluded as their inclusion would have an anti-dilutive effect. Accordingly, for the three and six months ended June 30, 2020, awards of 362 thousand shares and options of 2.6 million shares with an exercise price ranging from $45.75 to $86.34 and awards of 956 thousand shares and options of 2.7 million shares with an exercise price ranging from $36.55 to $86.34 were excluded from the computation of diluted earnings per share, respectively.

114 Capital One Financial Corporation (COF)

NOTE 11—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 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. 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. 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. For additional information on the valuation techniques used in estimating the fair value of our financial assets and liabilities on a recurring basis, see “Note 16—Fair Value Measurement” in our 2020 Form 10-K.

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 June 30, 2021 and December 31, 2020.

Table 11.1: Assets and Liabilities Measured at Fair Value on a Recurring Basis

	June 30, 2021
	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	$	9,231	$	0	$	0	—		$	9,231
RMBS	0		78,033		289		—		78,322
CMBS	0		11,078		9		—		11,087
Other securities	171		2,955		0		—		3,126
Total securities available for sale	9,402		92,066		298		—		101,766
Loans held for sale	0		371		0		—		371
Other assets:
Derivative assets(2)	602		2,985		129		$	(964)	2,752
Other(3)	496		2		46		0		544
Total assets	$	10,500	$	95,424	$	473	$	(964)	$	105,433
Liabilities:
Other liabilities:
Derivative liabilities(2)	$	1,144	$	1,156	$	110	$	(850)	$	1,560
Total liabilities	$	1,144	$	1,156	$	110	$	(850)	$	1,560

115 Capital One Financial Corporation (COF)

	December 31, 2020
	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	$	9,318	$	0	$	0	—		$	9,318
RMBS	0		76,375		328		—		76,703
CMBS	0		11,624		111		—		11,735
Other securities	142		2,547		0		—		2,689
Total securities available for sale	9,460		90,546		439		—		100,445
Loans held for sale	0		596		0		—		596
Other assets:
Derivative assets(2)	268		3,006		141		$	(1,148)	2,267
Other(3)	430		552		55		—		1,037
Total assets	$	10,158	$	94,700	$	635	$	(1,148)	$	104,345
Liabilities:
Other liabilities:
Derivative liabilities(2)	$	271	$	1,137	$	110	$	(739)	$	779
Total liabilities	$	271	$	1,137	$	110	$	(739)	$	779

__________

(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 8—Derivative Instruments and Hedging Activities” for additional information.

(2)Does not reflect $23 million and $31 million recognized as a net valuation allowance on derivative assets and liabilities for non-performance risk as of June 30, 2021 and December 31, 2020, respectively. Non-performance risk is included in derivative assets and liabilities, which are 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.

(3)As of June 30, 2021 and December 31, 2020, other includes retained interests in securitizations of $46 million and $55 million, deferred compensation plan assets of $472 million and $414 million, and equity securities of $26 million and $568 million including unrealized gains of $24 million and $535 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 six months ended June 30, 2021 and 2020. 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.

Table 11.2: Level 3 Recurring Fair Value Rollforward

	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
	Three Months Ended June 30, 2021
			Total Gains (Losses) (Realized/Unrealized)																		Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of June 30, 2021(1)
(Dollars in millions)	Balance, April 1, 2021		Included in Net Income(1)		Included in OCI		Purchases		Sales		Issuances		Settlements		Transfers Into Level 3		Transfers Out of Level 3		Balance, June 30, 2021
Securities available for sale:(2)
RMBS	$	326	$	4	$	2	$	0	$	0	$	0	$	(25)	$	45	$	(63)	$	289	$	4
CMBS	10		0		0		0		0		0		0		0		(1)		9		0
Total securities available for sale	336		4		2		0		0		0		(25)		45		(64)		298		4
Other assets:
Retained interests in securitizations	50		(4)		0		0		0		0		0		0		0		46		(4)
Net derivative assets (liabilities)(4)	34		11		0		0		0		(16)		(15)		6		(1)		19		11

116 Capital One Financial Corporation (COF)

	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
	Six Months Ended June 30, 2021
			Total Gains (Losses) (Realized/Unrealized)																		Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of June 30, 2021(1)
(Dollars in millions)	Balance, January 1, 2021		Included in Net Income(1)		Included in OCI		Purchases		Sales		Issuances		Settlements		Transfers Into Level 3		Transfers Out of Level 3		Balance, June 30, 2021
Securities available for sale:(2)
RMBS	$	328	$	11	$	4	$	0	$	0	$	0	$	(51)	$	84	$	(87)	$	289	$	8
CMBS	111		0		(2)		0		0		0		(6)		0		(94)		9		0
Total securities available for sale	439		11		2		0		0		0		(57)		84		(181)		298		8
Other assets:
Retained interests in securitizations	55		(9)		0		0		0		0		0		0		0		46		(9)
Net derivative assets (liabilities)(4)	31		(10)		0		0		0		22		(29)		6		(1)		19		8

	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
	Three Months Ended June 30, 2020
			Total Gains (Losses) (Realized/Unrealized)																		Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of June 30, 2020(1)
(Dollars in millions)	Balance, April 1, 2020		Included in Net Income(1)		Included in OCI		Purchases		Sales		Issuances		Settlements		Transfers Into Level 3		Transfers Out of Level 3		Balance, June 30, 2020
Securities available for sale:(2)
RMBS	$	373	$	6	$	29	$	0	$	0	$	0	$	(16)	$	131	$	(49)	$	474	$	7
CMBS	36		0		(1)		0		0		0		(3)		250		0		282		(3)
Total securities available for sale	409		6		28		0		0		0		(19)		381		(49)		756		4
Other assets:
Retained interests in securitizations	59		(3)		0		0		0		0		0		0		0		56		(3)
Net derivative assets (liabilities)(4)	66		(8)		0		0		0		2		(26)		0		0		34		0

	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
	Six Months Ended June 30, 2020
			Total Gains (Losses) (Realized/Unrealized)																		Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of June 30, 2020(1)
(Dollars in millions)	Balance, January 1, 2020		Included in Net Income(1)		Included in OCI		Purchases		Sales		Issuances		Settlements		Transfers Into Level 3		Transfers Out of Level 3		Balance, June 30, 2020
Securities available for sale:(2)(3)
RMBS	$	433	$	9	$	(24)	$	0	$	0	$	0	$	(33)	$	140	$	(51)	$	474	$	10
CMBS	13		0		(1)		0		0		0		(3)		273		0		282		(3)
Total securities available for sale	446		9		(25)		0		0		0		(36)		413		(51)		756		7
Other assets:
Retained interests in securitizations	66		(10)		0		0		0		0		0		0		0		56		(10)
Net derivative assets (liabilities)(4)	26		12		0		0		0		26		(28)		0		(2)		34		18

__________

117 Capital One Financial Corporation (COF)

(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 the three and six months ended June 30, 2021, included in OCI related to Level 3 securities available for sale still held as of June 30, 2021 were net unrealized losses of $1 million and net unrealized gains of $2 million, respectively. For the three and six months ended June 30, 2020, included in OCI related to Level 3 securities available for sale still held as of June 30, 2020 were net unrealized gains of $36 million and net unrealized losses of $23 million, respectively.

(3)The fair value of RMBS as of January 1, 2020 includes a cumulative adjustment of $4 million from the adoption of the CECL standard.

(4)Includes derivative assets and liabilities of $129 million and $110 million, respectively, as of June 30, 2021 and $151 million and $117 million, respectively, as of June 30, 2020.

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 and 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.

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.

118 Capital One Financial Corporation (COF)

Table 11.3: Quantitative Information about Level 3 Fair Value Measurements

	Quantitative Information about Level 3 Fair Value Measurements
(Dollars in millions)	Fair Value at June 30, 2021		Significant Valuation Techniques	Significant Unobservable Inputs	Range	Weighted Average(1)
Securities available for sale:
RMBS	$	289	Discounted cash flows (vendor pricing)	Yield Voluntary prepayment rate Default rate Loss severity	1-19% 5-20% 1-11% 30-100%	3% 11% 2% 68%
CMBS	9		Discounted cash flows (vendor pricing)	Yield	0-2%	1%
Other assets:
Retained interests in securitizations(2)	46		Discounted cash flows	Life of receivables (months) Voluntary prepayment rate Discount rate Default rate Loss severity	33-40 9-15% 2-11% 2-4% 55-151%	N/A
Net derivative assets (liabilities)	19		Discounted cash flows	Swap rates	1-2%	1%

	Quantitative Information about Level 3 Fair Value Measurements
(Dollars in millions)	Fair Value at December 31, 2020		Significant Valuation Techniques	Significant Unobservable Inputs	Range	Weighted Average(1)
Securities available for sale:
RMBS	$	328	Discounted cash flows (vendor pricing)	Yield Voluntary prepayment rate Default rate Loss severity	2-12% 8-15% 0-11% 30-100%	3% 10% 2% 73%
CMBS	111		Discounted cash flows (vendor pricing)	Yield	1-3%	2%
Other assets:
Retained interests in securitizations(2)	55		Discounted cash flows	Life of receivables (months) Voluntary prepayment rate Discount rate Default rate Loss severity	37-52 3-13% 2-12% 3-3% 55-70%	N/A
Net derivative assets (liabilities)	31		Discounted cash flows	Swap rates	1%	1%

__________

(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.

119 Capital One Financial Corporation (COF)

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 June 30, 2021 and December 31, 2020, and for which a nonrecurring fair value measurement was recorded during the six and twelve months then ended.

Table 11.4: Nonrecurring Fair Value Measurements

	June 30, 2021
	Estimated Fair Value Hierarchy				Total
(Dollars in millions)	Level 2		Level 3
Loans held for investment	$	0	$	204	$	204
Other assets(1)	0		177		177
Total	$	0	$	381	$	381

	December 31, 2020
	Estimated Fair Value Hierarchy				Total
(Dollars in millions)	Level 2		Level 3
Loans held for investment	$	0	$	305	$	305
Other assets(1)	0		175		175
Total	$	0	$	480	$	480

__________

(1)As of June 30, 2021, other assets included equity method investments subject to impairment of $56 million, investments accounted for under measurement alternative of $13 million, repossessed assets of $31 million and long-lived assets held for sale of $77 million. As of December 31, 2020, other assets included equity investments accounted for under the measurement alternative of $25 million, repossessed assets of $42 million and long-lived assets held for sale of $108 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 0% to 100%, with a weighted average of 23%, and from 0% to 89%, with a weighted average of 14%, as of June 30, 2021 and December 31, 2020, 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 June 30, 2021 and December 31, 2020.

Table 11.5: Nonrecurring Fair Value Measurements Included in Earnings

	Total Gains (Losses)
	Six Months Ended June 30,
(Dollars in millions)	2021		2020
Loans held for investment	$	(97)	$	(253)
Other assets(1)	(61)		(22)
Total	$	(158)	$	(275)

__________

(1)Other assets include fair value adjustments related to repossessed assets, long-lived assets held for sale and equity investments accounted for under the measurement alternative.

120 Capital One Financial Corporation (COF)

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 June 30, 2021 and December 31, 2020.

Table 11.6: Fair Value of Financial Instruments

	June 30, 2021
	Carrying Value		Estimated Fair Value		Estimated Fair Value Hierarchy
(Dollars in millions)					Level 1		Level 2		Level 3
Financial assets:
Cash and cash equivalents	$	34,846	$	34,846	$	5,312	$	29,534	$	0
Restricted cash for securitization investors	242		242		242		0		0
Net loans held for investment	237,251		242,812		0		0		242,812
Loans held for sale	6,151		6,385		0		6,385		0
Interest receivable	1,372		1,372		0		1,372		0
Other investments(1)	1,344		1,344		0		1,344		0
Financial liabilities:
Deposits with defined maturities	22,225		22,469		0		22,469		0
Securitized debt obligations	10,561		10,717		0		10,717		0
Senior and subordinated notes	24,878		25,724		0		25,724		0
Federal funds purchased and securities loaned or sold under agreements to repurchase	845		845		0		845		0
Interest payable	301		301		0		301		0

	December 31, 2020
	Carrying Value		Estimated Fair Value		Estimated Fair Value Hierarchy
(Dollars in millions)					Level 1		Level 2		Level 3
Financial assets:
Cash and cash equivalents	$	40,509	$	40,509	$	4,708	$	35,801	$	0
Restricted cash for securitization investors	262		262		262		0		0
Net loans held for investment	236,060		244,701		0		0		244,701
Loans held for sale	2,114		2,214		0		2,214		0
Interest receivable	1,471		1,471		0		1,471		0
Other investments(1)	1,341		1,341		0		1,341		0
Financial liabilities:
Deposits with defined maturities	32,746		33,111		0		33,111		0
Securitized debt obligations	12,414		12,584		0		12,584		0
Senior and subordinated notes	27,382		28,282		0		28,282		0
Federal funds purchased and securities loaned or sold under agreements to repurchase	668		668		0		668		0
Interest payable	352		352		0		352		0

__________

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

121 Capital One Financial Corporation (COF)

NOTE 12—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 segment, such as management of our corporate investment portfolio, asset/liability management by our centralized Corporate Treasury group and residual tax expense or benefit to arrive at the consolidated effective tax rate that is not assessed to our primary business segments, are included in the Other category.

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 revenue and expenses directly or indirectly attributable to each business segment. Our funds transfer pricing process provides a funds credit for sources of funds, such as deposits generated by our Consumer Banking and Commercial Banking businesses, and a funds charge for the use of funds by each segment. 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 third-party 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 “Note 17—Business Segments and Revenue from Contracts with Customers” in our 2020 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 six months ended June 30, 2021 and 2020, selected balance sheet data as of June 30, 2021 and 2020, and a reconciliation of our total business segment results to our reported consolidated income from continuing operations, loans held for investment and deposits.

122 Capital One Financial Corporation (COF)

Table 12.1: Segment Results and Reconciliation

	Three Months Ended June 30, 2021
(Dollars in millions)	Credit Card		Consumer Banking		Commercial Banking(1)		Other(1)		Consolidated Total
Net interest income (loss)	$	3,217	$	2,101	$	460	$	(35)	$	5,743
Non-interest income (loss)	1,253		144		257		(23)		1,631
Total net revenue (loss)(2)	4,470		2,245		717		(58)		7,374
Provision (benefit) for credit losses	(635)		(306)		(219)		0		(1,160)
Non-interest expense	2,263		1,123		417		163		3,966
Income (loss) from continuing operations before income taxes	2,842		1,428		519		(221)		4,568
Income tax provision (benefit)	672		337		123		(101)		1,031
Income (loss) from continuing operations, net of tax	$	2,170	$	1,091	$	396	$	(120)	$	3,537
Loans held for investment	$	101,017	$	74,759	$	73,821	$	0	$	249,597
Deposits	0		251,155		42,973		12,180		306,308

	Six Months Ended June 30, 2021
(Dollars in millions)	Credit Card		Consumer Banking		Commercial Banking(1)		Other(1)		Consolidated Total
Net interest income (loss)	$	6,589	$	4,131	$	980	$	(135)	$	11,565
Non-interest income (loss)	2,282		285		497		(142)		2,922
Total net revenue (loss)(2)	8,871		4,416		1,477		(277)		14,487
Provision (benefit) for credit losses	(1,127)		(432)		(422)		(2)		(1,983)
Non-interest expense	4,398		2,240		836		232		7,706
Income (loss) from continuing operations before income taxes	5,600		2,608		1,063		(507)		8,764
Income tax provision (benefit)	1,325		615		251		(291)		1,900
Income (loss) from continuing operations, net of tax	$	4,275	$	1,993	$	812	$	(216)	$	6,864
Loans held for investment	$	101,017	$	74,759	$	73,821	$	0	$	249,597
Deposits	0		251,155		42,973		12,180		306,308

	Three Months Ended June 30, 2020
(Dollars in millions)	Credit Card		Consumer Banking		Commercial Banking(1)		Other(1)		Consolidated Total
Net interest income (loss)	$	3,369	$	1,665	$	518	$	(92)	$	5,460
Non-interest income (loss)	845		97		180		(26)		1,096
Total net revenue (loss)(2)	4,214		1,762		698		(118)		6,556
Provision (benefit) for credit losses	2,944		876		427		(1)		4,246
Non-interest expense	1,969		1,036		425		340		3,770
Loss from continuing operations before income taxes	(699)		(150)		(154)		(457)		(1,460)
Income tax benefit	(166)		(36)		(36)		(305)		(543)
Loss from continuing operations, net of tax	$	(533)	$	(114)	$	(118)	$	(152)	$	(917)
Loans held for investment	$	107,310	$	66,712	$	77,490	$	0	$	251,512
Deposits	0		246,804		35,669		21,765		304,238

123 Capital One Financial Corporation (COF)

	Six Months Ended June 30, 2020
(Dollars in millions)	Credit Card		Consumer Banking		Commercial Banking(1)		Other(1)		Consolidated Total
Net interest income	$	7,071	$	3,322	$	1,009	$	83	$	11,485
Non-interest income (loss)	1,756		223		418		(77)		2,320
Total net revenue(2)	8,827		3,545		1,427		6		13,805
Provision for credit losses	6,646		1,736		1,283		4		9,669
Non-interest expense	4,177		2,027		837		458		7,499
Loss from continuing operations before income taxes	(1,996)		(218)		(693)		(456)		(3,363)
Income tax benefit	(472)		(52)		(164)		(418)		(1,106)
Loss from continuing operations, net of tax	$	(1,524)	$	(166)	$	(529)	$	(38)	$	(2,257)
Loans held for investment	$	107,310	$	66,712	$	77,490	$	0	$	251,512
Deposits	0		246,804		35,669		21,765		304,238

__________

(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 $175 million and $355 million in the three and six months ended June 30, 2021, respectively, and $318 million and $707 million in the three and six months ended June 30, 2020, 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 overdrafts and 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 on certain marketing and promotional events from our auto dealers. 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 six months ended June 30, 2021 and 2020.

Table 12.2: Revenue from Contracts with Customers and Reconciliation to Segment Results

	Three Months Ended June 30, 2021
(Dollars in millions)	Credit Card		Consumer Banking		Commercial Banking(1)		Other(1)		Consolidated Total
Contract revenue:
Interchange fees, net(2)	$	925	$	67	$	24	$	0	$	1,016
Service charges and other customer-related fees	0		45		66		0		111
Other	94		19		1		0		114
Total contract revenue	1,019		131		91		0		1,241
Revenue (reduction) from other sources	234		13		166		(23)		390
Total non-interest income (loss)	$	1,253	$	144	$	257	$	(23)	$	1,631

124 Capital One Financial Corporation (COF)

	Six Months Ended June 30, 2021
(Dollars in millions)	Credit Card		Consumer Banking		Commercial Banking(1)		Other(1)		Consolidated Total
Contract revenue:
Interchange fees, net(2)	$	1,668	$	124	$	41	$	0	$	1,833
Service charges and other customer-related fees	0		89		116		0		205
Other	164		38		2		0		204
Total contract revenue	1,832		251		159		0		2,242
Revenue (reduction) from other sources	450		34		338		(142)		680
Total non-interest income (loss)	$	2,282	$	285	$	497	$	(142)	$	2,922

	Three Months Ended June 30, 2020
(Dollars in millions)	Credit Card		Consumer Banking		Commercial Banking(1)		Other(1)		Consolidated Total
Contract revenue:
Interchange fees, net(2)	$	612	$	48	$	13	$	(1)	$	672
Service charges and other customer-related fees	0		31		43		(1)		73
Other	57		3		0		0		60
Total contract revenue	669		82		56		(2)		805
Revenue (reduction) from other sources	176		15		124		(24)		291
Total non-interest income	$	845	$	97	$	180	$	(26)	$	1,096

	Six Months Ended June 30, 2020
(Dollars in millions)	Credit Card		Consumer Banking		Commercial Banking(1)		Other(1)		Consolidated Total
Contract revenue:
Interchange fees, net(2)	$	1,300	$	98	$	28	$	(2)	$	1,424
Service charges and other customer-related fees	0		95		74		(1)		168
Other	127		22		1		0		150
Total contract revenue	1,427		215		103		(3)		1,742
Revenue (reduction) from other sources	329		8		315		(74)		578
Total non-interest income	$	1,756	$	223	$	418	$	(77)	$	2,320

________

(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.

125 Capital One Financial Corporation (COF)

NOTE 13—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, 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 June 30, 2021 and December 31, 2020. The carrying value represents our reserve and deferred revenue on legally binding commitments.

Table 13.1: Unfunded Lending Commitments

	Contractual Amount				Carrying Value
(Dollars in millions)	June 30, 2021		December 31, 2020		June 30, 2021		December 31, 2020
Credit card lines	$	354,098	$	349,594	N/A		N/A
Other loan commitments(1)	38,922		35,836		$	120	$	144
Standby letters of credit and commercial letters of credit(2)	1,290		1,302		27		32
Total unfunded lending commitments	$	394,310	$	386,732	$	147	$	176

__________

(1)Includes $2.6 billion and $1.8 billion of advised lines of credit as of June 30, 2021 and December 31, 2020, respectively.

(2)These financial guarantees have expiration dates that range from 2021 to 2023 as of June 30, 2021.

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 the loans. Beginning January 1, 2020, we elected the fair value option on new loss sharing agreements. 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 payment under the loss sharing agreement and record our estimate of expected credit losses each period in provision for credit losses in our consolidated statements of income. The liability recognized on our consolidated balance sheets for these loss sharing agreements was $93 million and $97 million as of June 30, 2021 and December 31, 2020, respectively.

See “Note 4—Allowance for Credit Losses and Reserve for Unfunded Lending Commitments” for more information related to our credit card partnership loss sharing arrangements.

126 Capital One Financial Corporation (COF)

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 June 30, 2021 are approximately $250 million. Our reserve and reasonably possible loss estimates involve considerable judgment and reflect that there is still 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 the range of reasonably possible losses disclosed here. Given the inherent uncertainties involved in these matters, especially those involving governmental agencies, and the very large or indeterminate damages sought in some of these matters, 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

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. Other merchants have asserted similar claims in separate lawsuits, and while these separate cases did not name any issuing banks, Visa, MasterCard and issuers, including Capital One, have entered 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 and have pursued their own claims. The claims by the injunctive relief class have not been resolved, but the settlement of $5.5 billion for the monetary damages class received final approval from the trial court, and has been appealed to the U.S. Court of Appeals for the Second Circuit. Visa and MasterCard have also settled a number of the opt-out cases, which required non-material payments from issuing banks, including Capital One. Visa created a litigation escrow account following its initial public offering of stock in 2008 that funds settlements for its member banks, and any settlements related to MasterCard-allocated losses have either already been paid or are reflected in our reserves.

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 “Cybersecurity Incident”). As a result of the Cybersecurity Incident, we are 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 were named as a defendant in approximately 74 putative consumer class action cases (61 in U.S. federal courts and 13 in Canadian courts) alleging harm from the 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. The U.S. consumer class actions have been consolidated for pretrial proceedings before a multi-district litigation (“MDL”) panel in the U.S. District Court for the Eastern District of Virginia, Alexandria Division, where the remaining 29 consumer class actions are currently pending. In the third quarter of 2020, the MDL court denied in part and granted in part Capital One’s motion to dismiss and permitted pretrial discovery to continue.

127 Capital One Financial Corporation (COF)

Securities class action. The Company and certain officers have also been named as defendants in a putative class action pending in the MDL alleging violations of certain federal securities laws in connection with statements and alleged omissions in securities filings relating to our information security standards and practices. The complaint seeks certification of a class of all persons who purchased or otherwise acquired Capital One securities from July 23, 2015 to July 29, 2019, as well as unspecified monetary damages, costs and other relief.

Governmental inquiries. We have received inquiries and requests for information relating to the Cybersecurity Incident from Congress, federal regulators, relevant Canadian regulators, the Department of Justice, and the offices of approximately fourteen state Attorneys General. We are cooperating with these offices and responding to their inquiries.

In August 2020, we entered into consent orders with the Federal Reserve and the Office of the Comptroller of the Currency (“OCC”) resulting from regulatory reviews of the 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.

Taxi Medallion Finance Investigations

Beginning in 2019, we have received subpoenas from the New York Attorney General’s office and from the U.S. Attorney’s Office for the Southern District of New York, Civil and Criminal Divisions, relating to investigations of the taxi medallion finance industry we exited beginning in 2015. The subpoenas seek, among other things, information regarding our lending counterparties and practices. We are cooperating with these investigations.

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), we received customer complaints and regulatory claims relating to PPI. As of the first quarter of 2021, 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.

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.

128 Capital One Financial Corporation (COF)

Item 3. Quantitative and Qualitative Disclosures about Market Risk

For a discussion of the quantitative and qualitative disclosures about market risk, see “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 the SEC rules and forms and that such information is accumulated and communicated to management, including our Chief Executive Officer and Chief Financial Officer, 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 Chief Executive Officer and Chief Financial Officer, 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 June 30, 2021, the end of the period covered by this Report on Form 10-Q. Based upon that evaluation, the Chief Executive Officer and Chief Financial Officer concluded that our disclosure controls and procedures were effective as of June 30, 2021, 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 second quarter of 2021 that materially affected, or are reasonably likely to materially affect, the Company’s internal control over financial reporting.

129 Capital One Financial Corporation (COF)

PART II—OTHER INFORMATION

Item 1. Legal Proceedings

The information required by Item 103 of Regulation S-K is included in “Note 13—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 2020 Form 10-K.

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

The following table presents information related to the withholdings of our common stock for each calendar month in the second quarter of 2021. 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	Maximum Amount That May Yet be Purchased Under the Plan or Program (in millions)
April	5,559,071	$	134.45	5,559,071	$	6,263
May	5,910,765	155.40		5,870,500	5,350
June	15,500	160.63		15,500	5,348
Total	11,485,336	145.27		11,445,071

__________

(1)On January 25, 2021, our Board of Directors authorized the repurchase of up to $7.5 billion of shares of our common stock. There were 40,265 shares withheld in May to cover taxes on restricted stock units (“RSUs”) whose restrictions have lapsed. See “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

None.

Item 6. Exhibits

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

130 Capital One Financial Corporation (COF)

EXHIBIT INDEX

The following exhibits are incorporated by reference or filed herewith. Reference to the “2003 Form 10-K” is to the Company’s Annual Report on Form 10-K for the year ended December 31, 2003, filed on March 5, 2004.

Exhibit No.	Description
3.1	Restated Certificate of Incorporation of Capital One Financial Corporation (as restated May 1, 2020) (incorporated by reference to Exhibit 3.2 of the Current Report on Form 8-K, filed on May 4, 2020).
3.2	Amended and Restated Bylaws of Capital One Financial Corporation, dated May 1, 2020 (incorporated by reference to Exhibit 3.3 of the Current Report on Form 8-K, filed on May 4, 2020).
3.3.1	Certificate of Designations of Fixed Rate Non-Cumulative Perpetual Preferred Stock, Series K, dated September 16, 2020 (incorporated by reference to Exhibit 3.1 of the Current Report on Form 8-K, filed on September 17, 2020).
3.3.2	Certificate of Designations of Fixed Rate Non-Cumulative Perpetual Preferred Stock, Series L, dated May 3, 2021 (incorporated by reference to Exhibit 3.1 of the Current Report on Form 8-K, filed on May 4, 2021).
3.3.3	Certificate of Designations of Fixed Rate Reset Non-Cumulative Perpetual Preferred Stock, Series M, dated June 9, 2021 (incorporated by reference to Exhibit 3.1 of the Current Report on Form 8-K, filed on June 10, 2021).
3.3.4	Certificate of Designations of Fixed Rate Non-Cumulative Perpetual Preferred Stock, Series N, dated July 28, 2021 (incorporated by reference to Exhibit 3.1 of the Current Report on Form 8-K, filed on July 29, 2021).
4.1.1	Specimen certificate representing the common stock of Capital One Financial Corporation (incorporated by reference to Exhibit 4.1 of the 2003 Form 10-K).
4.1.2	Warrant Agreement, dated December 3, 2009, between Capital One Financial Corporation and Computershare Trust Company, N.A. (incorporated by reference to the Exhibit 4.1 of the Form 8-A, filed on December 4, 2009).
4.1.3	Deposit Agreement, dated August 20, 2012 (incorporated by reference to Exhibit 4.1 of the Current Report on Form 8-K, filed on August 20, 2012).
4.2	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.
10.1+	Sixth Amended and Restated 2004 Stock Incentive Plan (incorporated by reference to Exhibit 10.1 of the Current Report on Form 8-K, filed on May 7, 2021).
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 June 30, 2021, 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 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 or the Securities Exchange Act of 1934.

131 Capital One Financial Corporation (COF)

SIGNATURES

Pursuant to the requirements 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: July 30, 2021	By:	/s/ ANDREW M. YOUNG
		Andrew M. Young
		Chief Financial Officer

132 Capital One Financial Corporation (COF)

EX-31.1

Exhibit 31.1

CERTIFICATION FOR QUARTERLY REPORT ON FORM 10-Q OF CAPITAL ONE FINANCIAL

CORPORATION AND CONSOLIDATED SUBSIDIARIES

I, Richard D. Fairbank, certify that:

1.I have reviewed this Quarterly Report on Form 10-Q for the quarter ended June 30, 2021 of Capital One Financial Corporation;

2.Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3.Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;

4.The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:

(a)Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

(b)Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

(c)Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and

(d)Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5.The registrant’s other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

(a)All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and

(b)Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date:	July 30, 2021	By:	/s/ RICHARD D. FAIRBANK
			Richard D. Fairbank Chair, Chief Executive Officer and President

EX-31.2

Exhibit 31.2

CERTIFICATION FOR QUARTERLY REPORT ON FORM 10-Q OF CAPITAL ONE FINANCIAL

CORPORATION AND CONSOLIDATED SUBSIDIARIES

I, Andrew M. Young, certify that,

1.I have reviewed this Quarterly Report on Form 10-Q for the quarter ended June 30, 2021 of Capital One Financial Corporation;

2.Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3.Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;

4.The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:

(a)Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

(b)Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

(c)Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and

(d)Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5.The registrant’s other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

(a)All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and

(b)Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date:	July 30, 2021	By:	/s/ ANDREW M. YOUNG
			Andrew M. Young Chief Financial Officer

EX-32.1

Exhibit 32.1

Certification

Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002

(Subsections (a) and (b) of Section 1350, Chapter 63 of Title 18, United States Code)

Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (Subsections (a) and (b) of Section 1350, Chapter 63 of Title 18, United States Code), I, Richard D. Fairbank, Chairman, Chief Executive Officer and President of Capital One Financial Corporation ("Capital One"), a Delaware corporation , do hereby certify that:

1.The Quarterly Report on Form 10-Q for the quarter ended June 30, 2021 (the “Form 10-Q”) of Capital One fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

2.The information contained in the Form 10-Q fairly presents, in all material respects, the financial condition and results of operations of Capital One.

Date:	July 30, 2021	By:	/s/ RICHARD D. FAIRBANK
			Richard D. Fairbank Chair, Chief Executive Officer and President

A signed original of this written statement required by Section 906 has been provided to Capital One and will be retained by Capital One and furnished to the Securities and Exchange Commission or its staff upon request.

EX-32.2

Exhibit 32.2

Certification

Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002

(Subsections (a) and (b) of Section 1350, Chapter 63 of Title 18, United States Code)

Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (Subsections (a) and (b) of Section 1350, Chapter 63 of Title 18, United States Code), I, Andrew M. Young, Chief Financial Officer of Capital One Financial Corporation ("Capital One"), a Delaware corporation, do hereby certify that:

1.The Quarterly Report on Form 10-Q for the quarter ended June 30, 2021 (the “Form 10-Q”) of Capital One fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

2.The information contained in the Form 10-Q fairly presents, in all material respects, the financial condition and results of operations of Capital One.

Date:	July 30, 2021	By:	/s/ ANDREW M. YOUNG
			Andrew M. Young Chief Financial Officer

A signed original of this written statement required by Section 906 has been provided to Capital One and will be retained by Capital One and furnished to the Securities and Exchange Commission or its staff upon request.

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Entity Information [Line Items]
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Depositary Shares, Each Representing a 1/40th Interest in a Share of Fixed Rate Non-Cumulative Perpetual Preferred Stock, Series J
Entity Information [Line Items]
Title of 12(b) Security	Depositary Shares, Each Representing a 1/40th Interest in a Share of Fixed Rate Non-Cumulative Perpetual Preferred Stock, Series J
Trading Symbol	COF PRJ
Security Exchange Name	NYSE
Depositary Shares, Each Representing a 1/40th Interest in a Share of Fixed Rate Non-Cumulative Perpetual Preferred Stock, Series K
Entity Information [Line Items]
Title of 12(b) Security	Depositary Shares, Each Representing a 1/40th Interest in a Share of Fixed Rate Non-Cumulative Perpetual Preferred Stock, Series K
Trading Symbol	COF PRK
Security Exchange Name	NYSE
Depositary Shares, Each Representing a 1/40th Interest in a Share of Fixed Rate Non-Cumulative Perpetual Preferred Stock, Series L
Entity Information [Line Items]
Title of 12(b) Security	Depositary Shares, Each Representing a 1/40th Interest in a Share of Fixed Rate Non-Cumulative Perpetual Preferred Stock, Series L
Trading Symbol	COF PRL
Security Exchange Name	NYSE
Depositary Shares, Each Representing a 1/40th Interest in a Share of Fixed Rate Non-Cumulative Perpetual Preferred Stock, Series N
Entity Information [Line Items]
Title of 12(b) Security	Depositary Shares, Each Representing a 1/40th Interest in a Share of Fixed Rate Non-Cumulative Perpetual Preferred Stock, Series N
Trading Symbol	COF PRN
Security Exchange Name	NYSE
0.800% Senior Notes Due 2024
Entity Information [Line Items]
Title of 12(b) Security	0.800% Senior Notes Due 2024
Trading Symbol	COF24
Security Exchange Name	NYSE
1.650% Senior Notes Due 2029
Entity Information [Line Items]
Title of 12(b) Security	1.650% Senior Notes Due 2029
Trading Symbol	COF29
Security Exchange Name	NYSE

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CONSOLIDATED STATEMENTS OF INCOME - USD ($) $ in Millions	3 Months Ended		6 Months Ended
	Jun. 30, 2021	Jun. 30, 2020	Jun. 30, 2021	Jun. 30, 2020
Interest income:
Loans, including loans held for sale	$ 5,753	$ 5,820	$ 11,607	$ 12,362
Investment securities	370	482	761	1,012
Other	16	16	32	53
Total interest income	6,139	6,318	12,400	13,427
Interest expense:
Deposits	237	611	506	1,342
Securitized debt obligations	28	56	60	155
Senior and subordinated notes	122	180	251	419
Other borrowings	9	11	18	26
Total interest expense	396	858	835	1,942
Net interest income	5,743	5,460	11,565	11,485
Provision (benefit) for credit losses	(1,160)	4,246	(1,983)	9,669
Net interest income after provision for credit losses	6,903	1,214	13,548	1,816
Non-interest income:
Interchange fees, net	1,016	672	1,833	1,424
Service charges and other customer-related fees	384	258	736	585
Net securities gains	0	0	4	0
Other	231	166	349	311
Total non-interest income	1,631	1,096	2,922	2,320
Non-interest expense:
Salaries and associate benefits	1,781	1,704	3,628	3,331
Occupancy and equipment	523	523	995	1,040
Marketing	620	273	1,121	764
Professional services	341	304	633	591
Communications and data processing	315	308	617	610
Amortization of intangibles	5	16	11	38
Other	381	642	701	1,125
Total non-interest expense	3,966	3,770	7,706	7,499
Income (loss) from continuing operations before income taxes	4,568	(1,460)	8,764	(3,363)
Income tax provision (benefit)	1,031	(543)	1,900	(1,106)
Income (loss) from continuing operations, net of tax	3,537	(917)	6,864	(2,257)
Loss from discontinued operations, net of tax	(1)	(1)	(3)	(1)
Net income (loss)	3,536	(918)	6,861	(2,258)
Dividends and undistributed earnings allocated to participating securities	(30)	(1)	(58)	(4)
Preferred stock dividends	(60)	(90)	(121)	(145)
Issuance cost for redeemed preferred stock	0	0	0	(22)
Net income (loss) available to common stockholders	$ 3,446	$ (1,009)	$ 6,682	$ (2,429)
Basic earnings per common share:
Net income (loss) from continuing operations	$ 7.65	$ (2.21)	$ 14.70	$ (5.31)
Net income (loss) per basic common share	7.65	(2.21)	14.70	(5.31)
Diluted earnings per common share:
Net income (loss) from continuing operations	7.62	(2.21)	14.65	(5.31)
Net income (loss) per diluted common share	$ 7.62	$ (2.21)	$ 14.65	$ (5.31)

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CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME - USD ($) $ in Millions	3 Months Ended				6 Months Ended
	Jun. 30, 2021	Mar. 31, 2021	Jun. 30, 2020	Mar. 31, 2020	Jun. 30, 2021	Jun. 30, 2020
Statement of Comprehensive Income [Abstract]
Net income (loss)	$ 3,536		$ (918)		$ 6,861	$ (2,258)
Other comprehensive income (loss), net of tax:
Net unrealized gains (losses) on securities available for sale	51		222		(1,097)	1,446
Net unrealized gains (losses) on hedging relationships	(51)		57		(632)	1,431
Foreign currency translation adjustments	9		23		28	(44)
Other	0		0		(1)	0
Other comprehensive income (loss), net of tax	9		302		(1,702)	2,833
Comprehensive income (loss)	$ 3,545	$ 1,614	$ (616)	$ 1,191	$ 5,159	$ 575

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CONSOLIDATED BALANCE SHEETS - USD ($) $ in Millions	Jun. 30, 2021	Dec. 31, 2020
Cash and cash equivalents:
Cash and due from banks	$ 5,312	$ 4,708
Interest-bearing deposits and other short-term investments	29,534	35,801
Total cash and cash equivalents	34,846	40,509
Restricted cash for securitization investors	242	262
Securities available for sale (amortized cost of $100.3 billion and $97.6 billion and allowance for credit losses of $1 million as of both June 30, 2021 and December 31, 2020)	101,766	100,445
Loans held for investment:
Total loans held for investment	249,597	251,624
Allowance for credit losses	(12,346)	(15,564)
Net loans held for investment	237,251	236,060
Loans held for sale ($371 million and $596 million carried at fair value as of June 30, 2021 and December 31, 2020, respectively)	6,522	2,710
Premises and equipment, net	4,227	4,287
Interest receivable	1,372	1,471
Goodwill	14,654	14,653
Other assets	22,540	21,205
Total assets	423,420	421,602
Liabilities:
Interest payable	301	352
Deposits:
Non-interest-bearing deposits	34,994	31,142
Interest-bearing deposits	271,314	274,300
Total deposits	306,308	305,442
Securitized debt obligations	10,561	12,414
Other debt:
Federal funds purchased and securities loaned or sold under agreements to repurchase	845	668
Senior and subordinated notes	24,878	27,382
Other borrowings	59	75
Total other debt	25,782	28,125
Other liabilities	15,844	15,065
Total liabilities	358,796	361,398
Commitments, contingencies and guarantees (see Note 13)
Stockholders’ equity:
Preferred stock (par value $0.01 per share; 50,000,000 shares authorized; 6,650,000 and 4,975,000 shares issued and outstanding as of June 30, 2021 and December 31, 2020, respectively)	0	0
Common stock (par value $0.01 per share; 1,000,000,000 shares authorized; 683,559,818 and 679,932,837 shares issued as of June 30, 2021 and December 31, 2020, respectively; 446,113,769 and 458,972,202 shares outstanding as of June 30, 2021 and December 31, 2020, respectively)	7	7
Additional paid-in capital, net	35,472	33,480
Retained earnings	46,461	40,088
Accumulated other comprehensive income	1,792	3,494
Treasury stock, at cost (par value $0.01 per share; 237,446,049 and 220,960,635 shares as of June 30, 2021 and December 31, 2020, respectively)	(19,108)	(16,865)
Total stockholders’ equity	64,624	60,204
Total liabilities and stockholders’ equity	423,420	421,602
Unsecuritized loans held for investment
Loans held for investment:
Total loans held for investment	226,130	225,698
Loans held in consolidated trusts
Loans held for investment:
Total loans held for investment	23,467	25,926
Total assets	24,746	26,619
Other debt:
Total liabilities	$ 10,681	$ 12,436

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CONSOLIDATED BALANCE SHEETS (Parenthetical) - USD ($) $ in Millions	Jun. 30, 2021	Dec. 31, 2020
Statement of Financial Position [Abstract]
Securities available for sale, amortized cost	$ 100,336	$ 97,569
Securities available for sale, allowance for credit loss	1	1
Loans held for sale	$ 371	$ 596
Preferred stock, par value (in dollars per share)	$ 0.01	$ 0.01
Preferred stock, shares authorized	50,000,000	50,000,000
Preferred stock, shares issued	6,650,000	4,975,000
Preferred stock, shares outstanding	6,650,000	4,975,000
Common stock, par value (in dollars per share)	$ 0.01	$ 0.01
Common stock, shares authorized	1,000,000,000	1,000,000,000
Common stock, shares issued	683,559,818	679,932,837
Common stock, shares outstanding	446,113,769	458,972,202
Treasury stock, par value (in dollars per share)	$ 0.01	$ 0.01
Treasury stock, shares	237,446,049	220,960,635

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CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY - USD ($) $ in Millions		Total	Preferred Stock	Common Stock	Additional Paid-In Capital	Retained Earnings	Accumulated Other Comprehensive Income (Loss)	Treasury Stock	Cumulative effects from adoption of new accounting standards	Cumulative effects from adoption of new accounting standards Retained Earnings	Cumulative effects from adoption of new accounting standards Accumulated Other Comprehensive Income (Loss)
Beginning balance (shares) at Dec. 31, 2019			4,975,000	672,969,391
Beginning balance at Dec. 31, 2019		$ 58,011	$ 0	$ 7	$ 32,980	$ 40,340	$ 1,156	$ (16,472)	$ (2,192)	$ (2,184)	$ (8)
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Comprehensive income		1,191				(1,340)	2,531
Dividends, common stock (shares)	[1]			23,213
Dividends, common stock	[1]	(185)		$ 0	2	(187)
Dividends, preferred stock		(55)				(55)
Purchases of treasury stock		(386)						(386)
Issuances of common stock and restricted stock, net of forfeitures (shares)				2,618,628
Issuances of common stock and restricted stock, net of forfeitures		63		$ 0	63
Exercises of stock options (shares)				559,333
Exercises of stock options		20		$ 0	20
Issuances of preferred stock (shares)			1,250,000
Issuances of preferred stock		1,209	$ 0		1,209
Redemptions of preferred stock (shares)			(875,000)
Redemptions of preferred stock		(875)	$ 0		(853)	(22)
Compensation expense for restricted stock units and stock options		29			29
Ending balance (shares) at Mar. 31, 2020			5,350,000	676,170,565
Ending balance at Mar. 31, 2020		56,830	$ 0	$ 7	33,450	36,552	3,679	(16,858)
Beginning balance (shares) at Dec. 31, 2019			4,975,000	672,969,391
Beginning balance at Dec. 31, 2019		58,011	$ 0	$ 7	32,980	40,340	1,156	(16,472)	$ (2,192)	$ (2,184)	$ (8)
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Comprehensive income		575
Ending balance (shares) at Jun. 30, 2020			5,350,000	677,226,807
Ending balance at Jun. 30, 2020		56,045	$ 0	$ 7	33,556	35,361	3,981	(16,860)
Beginning balance (shares) at Mar. 31, 2020			5,350,000	676,170,565
Beginning balance at Mar. 31, 2020		56,830	$ 0	$ 7	33,450	36,552	3,679	(16,858)
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Comprehensive income		(616)				(918)	302
Dividends, common stock (shares)	[1]			6,521
Dividends, common stock	[1]	(183)		$ 0	0	(183)
Dividends, preferred stock		(90)				(90)
Purchases of treasury stock		(2)						(2)
Issuances of common stock and restricted stock, net of forfeitures (shares)				1,041,311
Issuances of common stock and restricted stock, net of forfeitures		58		$ 0	58
Exercises of stock options (shares)				8,410
Exercises of stock options		0		$ 0	0
Compensation expense for restricted stock units and stock options		48			48
Ending balance (shares) at Jun. 30, 2020			5,350,000	677,226,807
Ending balance at Jun. 30, 2020		56,045	$ 0	$ 7	33,556	35,361	3,981	(16,860)
Beginning balance (shares) at Dec. 31, 2020			4,975,000	679,932,837
Beginning balance at Dec. 31, 2020		60,204	$ 0	$ 7	33,480	40,088	3,494	(16,865)
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Comprehensive income		1,614				3,325	(1,711)
Dividends, common stock (shares)	[1]			13,356
Dividends, common stock	[1]	(184)		$ 0	1	(185)
Dividends, preferred stock		(61)				(61)
Purchases of treasury stock		(575)						(575)
Issuances of common stock and restricted stock, net of forfeitures (shares)				2,531,966
Issuances of common stock and restricted stock, net of forfeitures		60		$ 0	60
Exercises of stock options (shares)				283,398
Exercises of stock options		19		$ 0	19
Compensation expense for restricted stock units and stock options		111			111
Ending balance (shares) at Mar. 31, 2021			4,975,000	682,761,557
Ending balance at Mar. 31, 2021		61,188	$ 0	$ 7	33,671	43,167	1,783	(17,440)
Beginning balance (shares) at Dec. 31, 2020			4,975,000	679,932,837
Beginning balance at Dec. 31, 2020		60,204	$ 0	$ 7	33,480	40,088	3,494	(16,865)
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Comprehensive income		5,159
Ending balance (shares) at Jun. 30, 2021			6,650,000	683,559,818
Ending balance at Jun. 30, 2021		64,624	$ 0	$ 7	35,472	46,461	1,792	(19,108)
Beginning balance (shares) at Mar. 31, 2021			4,975,000	682,761,557
Beginning balance at Mar. 31, 2021		61,188	$ 0	$ 7	33,671	43,167	1,783	(17,440)
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Comprehensive income		3,545				3,536	9
Dividends, common stock (shares)	[1]			4,954
Dividends, common stock	[1]	(181)		$ 0	1	(182)
Dividends, preferred stock		(60)				(60)
Purchases of treasury stock		(1,668)						(1,668)
Issuances of common stock and restricted stock, net of forfeitures (shares)				583,779
Issuances of common stock and restricted stock, net of forfeitures		60		$ 0	60
Exercises of stock options (shares)				209,528
Exercises of stock options		15		$ 0	15
Issuances of preferred stock (shares)			1,675,000
Issuances of preferred stock		1,641	$ 0		1,641
Compensation expense for restricted stock units and stock options		84			84
Ending balance (shares) at Jun. 30, 2021			6,650,000	683,559,818
Ending balance at Jun. 30, 2021		$ 64,624	$ 0	$ 7	$ 35,472	$ 46,461	$ 1,792	$ (19,108)

[1] We declared dividends per share on our common stock of $0.40 in the second quarter of 2021 and 2020, and $0.80 in the first six months of 2021 and 2020.

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CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY (Parenthetical) - $ / shares	3 Months Ended		6 Months Ended
	Jun. 30, 2021	Jun. 30, 2020	Jun. 30, 2021	Jun. 30, 2020
Statement of Stockholders' Equity [Abstract]
Dividend per share on common stock declared (in dollars per share)	$ 0.40	$ 0.40	$ 0.80	$ 0.80

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CONSOLIDATED STATEMENTS OF CASH FLOWS - USD ($) $ in Millions	6 Months Ended
	Jun. 30, 2021	Jun. 30, 2020
Operating activities:
Income (loss) from continuing operations, net of tax	$ 6,864	$ (2,257)
Loss from discontinued operations, net of tax	(3)	(1)
Net income (loss)	6,861	(2,258)
Adjustments to reconcile net income (loss) to net cash from operating activities:
Provision (benefit) for credit losses	(1,983)	9,669
Depreciation and amortization, net	1,714	1,804
Deferred tax provision (benefit)	574	(1,574)
Net securities losses (gains)	(4)	0
Gain on sales of loans	(5)	(11)
Stock-based compensation expense	206	74
Other (including (gains) and losses from equity investments)	38	(7)
Loans held for sale:
Originations and purchases	(3,233)	(4,347)
Proceeds from sales and paydowns	3,707	4,002
Changes in operating assets and liabilities:
Changes in interest receivable	99	184
Changes in other assets	(3,183)	954
Changes in interest payable	(51)	(59)
Changes in other liabilities	957	783
Net change from discontinued operations	(3)	1
Net cash from operating activities	5,694	9,215
Securities available for sale:
Purchases	(18,185)	(14,568)
Proceeds from paydowns and maturities	14,142	9,113
Proceeds from sales	595	144
Loans:
Net changes in loans held for investment	(5,160)	9,797
Principal recoveries of loans previously charged off	1,308	1,292
Net purchases of premises and equipment	(341)	(342)
Net cash from acquisition activities	(24)	0
Net cash from other investing activities	(26)	(377)
Net cash from investing activities	(7,691)	5,059
Financing activities:
Changes in deposits	945	41,234
Issuance of securitized debt obligations	0	1,248
Maturities and paydowns of securitized debt obligations	(1,773)	(3,593)
Issuance of senior and subordinated notes and long-term FHLB advances	0	3,987
Maturities and paydowns of senior and subordinated notes and long-term FHLB advances	(2,085)	(7,156)
Changes in other borrowings	161	(6,759)
Common stock:
Net proceeds from issuances	120	121
Dividends paid	(365)	(368)
Preferred stock:
Net proceeds from issuances	1,641	1,209
Dividends paid	(121)	(145)
Redemptions	0	(875)
Purchases of treasury stock	(2,243)	(388)
Proceeds from share-based payment activities	34	20
Net cash from financing activities	(3,686)	28,535
Changes in cash, cash equivalents and restricted cash for securitization investors	(5,683)	42,809
Cash, cash equivalents and restricted cash for securitization investors, beginning of the period	40,771	13,749
Cash, cash equivalents and restricted cash for securitization investors, end of the period	35,088	56,558
Non-cash items:
Net transfers from (to) loans held for investment to (from) loans held for sale	4,575	(36)
Interest paid	1,145	2,088
Income tax paid	$ 1,013	$ 137

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Summary of Significant Accounting Policies

6 Months Ended

Jun. 30, 2021

Accounting Policies [Abstract]

Summary of Significant Accounting Policies

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”) offer a broad array of financial products and services to consumers, small businesses and commercial clients through digital channels, branches, Cafés and other distribution channels. As of June 30, 2021, our principal subsidiaries included:

•Capital One Bank (USA), National Association (“COBNA”), which offers credit and debit card products, other lending products and deposit products; and

•Capital One, National Association (“CONA”), which offers a broad spectrum of banking products and financial services to consumers, small businesses and commercial clients.

The Company is hereafter collectively referred to as “we,” “us” or “our.” COBNA and CONA are collectively referred to as the “Banks.”

We also offer products outside of the United States of America (“U.S.”) principally through Capital One (Europe) plc (“COEP”), an indirect subsidiary of COBNA organized and located in the United Kingdom (“U.K.”), and through a branch of COBNA in Canada. COEP has authority, among other things, to provide credit card loans. Our branch of COBNA in Canada also has 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 recent acquisitions, if any, into our business segments and the allocation methodologies and accounting policies used to derive our business segment results in “Note 12—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. Certain prior period amounts have been reclassified to conform to the current period presentation.

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 2020 Annual Report on Form 10-K (“2020 Form 10-K”).

Newly Adopted Accounting Standards During the Six Months Ended June 30, 2021

Standard	Guidance	Adoption Timing and Financial Statement Impacts
Income Tax Accounting Simplification ASU No. 2019-12, Income Taxes (Topic 740): Simplifying the Accounting for Income Taxes Issued December 2019	Simplifies various aspects of the guidance on accounting for income taxes.	We adopted this guidance in the first quarter of 2021 using the modified retrospective and prospective methods of adoption. Our adoption of this standard did not have a material impact on our consolidated financial statements.

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Investment Securities

6 Months Ended

Jun. 30, 2021

Investments, Debt and Equity Securities [Abstract]

Investment Securities

NOTE 2—INVESTMENT SECURITIES

Our investment securities portfolio consists of the following: U.S. government-sponsored enterprise or agency (“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% of our total investment securities portfolio as of both June 30, 2021 and December 31, 2020.

The table below presents the amortized cost, gross unrealized gains and losses, and fair value of securities available for sale as of June 30, 2021 and December 31, 2020. Accrued interest receivable of $221 million and $230 million as of June 30, 2021, and December 31, 2020, respectively, is not included in the table below.

Table 2.1: Investment Securities Available for Sale

	June 30, 2021
(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	$	9,211	$	0	$	20	$	0	$	9,231
RMBS:
Agency	76,318		0		1,433		(545)		77,206
Non-agency	908		(1)		209		0		1,116
Total RMBS	77,226		(1)		1,642		(545)		78,322
Agency CMBS	10,781		0		335		(29)		11,087
Other securities(1)	3,118		0		8		0		3,126
Total investment securities available for sale	$	100,336	$	(1)	$	2,005	$	(574)	$	101,766

	December 31, 2020
(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	$	9,302	$	0	$	16	$	0	$	9,318
RMBS:
Agency	73,248		0		2,326		(108)		75,466
Non-agency	1,035		(1)		204		(1)		1,237
Total RMBS	74,283		(1)		2,530		(109)		76,703
Agency CMBS	11,298		0		448		(11)		11,735
Other securities(1)	2,686		0		3		0		2,689
Total investment securities available for sale	$	97,569	$	(1)	$	2,997	$	(120)	$	100,445

__________    

(1)Includes $2.3 billion and $1.8 billion of asset-backed securities (“ABS”) as of June 30, 2021, and December 31, 2020, respectively. The remaining amount is primarily comprised of supranational bonds and foreign government bonds.

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 June 30, 2021 and December 31, 2020. The amounts include securities available for sale without an allowance for credit losses.

Table 2.2: Securities in a Gross Unrealized Loss Position

	June 30, 2021
	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:
RMBS:
Agency	$	34,165	$	(485)	$	1,685	$	(59)	$	35,850	$	(544)
Non-agency	6		0		0		0		6		0
Total RMBS	34,171		(485)		1,685		(59)		35,856		(544)
Agency CMBS	2,028		(27)		223		(2)		2,251		(29)
Other securities(1)	529		0		0		0		529		0
Total investment securities available for sale in a gross unrealized loss position without an allowance for credit losses(2)	$	36,728	$	(512)	$	1,908	$	(61)	$	38,636	$	(573)

	December 31, 2020
	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:
RMBS:
Agency	$	7,424	$	(57)	$	1,791	$	(51)	$	9,215	$	(108)
Non-agency	12		0		0		0		12		0
Total RMBS	7,436		(57)		1,791		(51)		9,227		(108)
Agency CMBS	1,545		(7)		267		(4)		1,812		(11)
Other securities(1)	114		0		1		0		115		0
Total investment securities available for sale in a gross unrealized loss position without an allowance for credit losses(2)	$	9,095	$	(64)	$	2,059	$	(55)	$	11,154	$	(119)

__________

(1)    Includes primarily other asset-backed securities, foreign government bonds, and supranational bonds.

(2)    Consists of approximately 570 and 320 securities in gross unrealized loss positions as of June 30, 2021 and December 31, 2020, respectively.

Maturities and Yields of Investment Securities

The table below summarizes, by major security type, the contractual maturities and weighted-average yields of our investment securities as of June 30, 2021. Because 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 and is calculated based on the amortized cost of each security.

Table 2.3: Contractual Maturities and Weighted-Average Yields of Securities

	June 30, 2021
(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	$	1,401		$	7,830		$	0		$	0		$	9,231
RMBS(1):
Agency	0			97			1,139			75,970			77,206
Non-agency	0			0			0			1,116			1,116
Total RMBS	0			97			1,139			77,086			78,322
Agency CMBS(1)	399			2,666			5,133			2,889			11,087
Other securities	298			2,560			268			0			3,126
Total securities available for sale	$	2,098		$	13,153		$	6,540		$	79,975		$	101,766
Amortized cost of securities available for sale	$	2,096		$	13,087		$	6,376		$	78,777		$	100,336
Weighted-average yield for securities available for sale	0.66		%	0.53		%	1.51		%	1.77		%	1.57		%

__________

(1)As of June 30, 2021, the weighted-average expected maturities of RMBS and Agency CMBS are 5.4 years and 5.6 years, respectively.

Net Securities Gains or Losses and Proceeds from Sales

Total proceeds from sales of our securities were $595 million, with gains of $4 million for the six months ended June 30, 2021. We had no sales of securities both for the three months ended June 30, 2021 and 2020. For the six months ended June 30, 2020, total proceeds from the sale of our securities were $144 million and we recognized less than $1 million of gains.

Securities Pledged and Received

We pledged investment securities totaling $19.2 billion and $16.5 billion as of June 30, 2021 and December 31, 2020, respectively. These securities are primarily pledged to secure FHLB advances and Public Funds deposits, as well as for other purposes as required or permitted by law. We accepted pledges of securities with a fair value of approximately $1 million as of both June 30, 2021 and December 31, 2020, related to our derivative transactions.

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Loans

6 Months Ended

Jun. 30, 2021

Receivables [Abstract]

Loans

NOTE 3—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 this section 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. Amounts include the impacts of COVID-19 customer assistance programs where applicable.

Accrued interest receivable of $1.2 billion as of both June 30, 2021 and December 31, 2020, 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 June 30, 2021 and December 31, 2020. The delinquency aging includes all past due loans, both performing and nonperforming.

Table 3.1: Loan Portfolio Composition and Aging Analysis

	June 30, 2021
				Delinquent Loans
(Dollars in millions)	Current			30-59 Days			60-89 Days			> 90 Days			Total Delinquent Loans			Total Loans
Credit Card:
Domestic credit card	$	93,711		$	525		$	317		$	756		$	1,598		$	95,309
International card businesses	5,536			67			37			68			172			5,708
Total credit card	99,247			592			354			824			1,770			101,017
Consumer Banking:
Auto	69,222			1,717			645			129			2,491			71,713
Retail banking	2,999			21			8			18			47			3,046
Total consumer banking	72,221			1,738			653			147			2,538			74,759
Commercial Banking:
Commercial and multifamily real estate	29,476			4			23			113			140			29,616
Commercial and industrial	43,924			201			25			55			281			44,205
Total commercial banking	73,400			205			48			168			421			73,821
Total loans(1)	$	244,868		$	2,535		$	1,055		$	1,139		$	4,729		$	249,597
% of Total loans	98.11		%	1.01		%	0.42		%	0.46		%	1.89		%	100.00		%

	December 31, 2020
				Delinquent Loans
(Dollars in millions)	Current			30-59 Days			60-89 Days			> 90 Days			Total Delinquent Loans			Total Loans
Credit Card:
Domestic credit card	$	96,116		$	755		$	464		$	1,169		$	2,388		$	98,504
International card businesses	8,218			90			58			86			234			8,452
Total credit card	104,334			845			522			1,255			2,622			106,956
Consumer Banking:
Auto	62,381			2,252			907			222			3,381			65,762
Retail banking	3,064			28			19			15			62			3,126
Total consumer banking	65,445			2,280			926			237			3,443			68,888
Commercial Banking:
Commercial and multifamily real estate	30,340			136			22			183			341			30,681
Commercial and industrial	44,941			69			15			74			158			45,099
Total commercial banking	75,281			205			37			257			499			75,780
Total loans(1)	$	245,060		$	3,330		$	1,485		$	1,749		$	6,564		$	251,624
% of Total loans	97.39		%	1.32		%	0.59		%	0.70		%	2.61		%	100.00		%

__________(1)Loans include unamortized premiums and discounts, and unamortized deferred fees and costs totaling $1.3 billion and $1.1 billion as of June 30, 2021 and December 31, 2020

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 June 30, 2021 and December 31, 2020. Nonperforming loans generally include loans that have been placed on nonaccrual status.

Table 3.2: 90+ Day Delinquent Loans Accruing Interest and Nonperforming Loans

	June 30, 2021									December 31, 2020
(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	$	756		N/A			$	0		$	1,169		N/A			$	0
International card businesses	65			$	12		0			82			$	21		0
Total credit card	821			12			0			1,251			21			0
Consumer Banking:
Auto	0			209			0			0			294			0
Retail banking	0			53			20			0			30			0
Total consumer banking	0			262			20			0			324			0
Commercial Banking:
Commercial and multifamily real estate	2			301			249			51			200			184
Commercial and industrial	0			458			280			0			450			265
Total commercial banking	2			759			529			51			650			449
Total	$	823		$	1,033		$	549		$	1,302		$	995		$	449
% of Total loans held for investment	0.3		%	0.4		%	0.2		%	0.5		%	0.4		%	0.2		%

__________

(1)We recognized interest income for loans classified as nonperforming of $3 million and $8 million for the three and six months ended June 30, 2021, respectively, and $5 million and $11 million for the three and six months ended June 30, 2020, respectively.

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 unemployment rates and home values, 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 June 30, 2021 and December 31, 2020.

Table 3.3: Credit Card Delinquency Status

	June 30, 2021						December 31, 2020
(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	$	93,304	$	407	$	93,711	$	95,629	$	487	$	96,116
30-59 days	512		13		525		734		21		755
60-89 days	308		9		317		451		13		464
Greater than 90 days	747		9		756		1,155		14		1,169
Total domestic credit card	94,871		438		95,309		97,969		535		98,504
International card businesses:
Current	5,484		52		5,536		8,152		66		8,218
30-59 days	61		6		67		79		11		90
60-89 days	33		4		37		47		11		58
Greater than 90 days	64		4		68		76		10		86
Total international card businesses	5,642		66		5,708		8,354		98		8,452
Total credit card	$	100,513	$	504	$	101,017	$	106,323	$	633	$	106,956

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, such as unemployment rates, gross domestic product and home values, as well as consumers’ financial condition, all of which can have a material effect on credit performance. The key indicator we monitor 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 June 30, 2021 and December 31, 2020. We present our auto loan portfolio by FICO scores at origination and our retail banking loan portfolio by delinquency status, which includes all past due loans, both performing and nonperforming.

Table 3.4: Consumer Banking Portfolio by Credit Quality Indicator

	June 30, 2021
	Term Loans by Vintage Year
(Dollars in millions)	2021		2020		2019		2018		2017		Prior		Total Term Loans		Revolving Loans		Revolving Loans Converted to Term		Total
Auto—At origination FICO scores:(1)
Greater than 660	$	11,276	$	10,874	$	6,258	$	3,396	$	1,855	$	683	$	34,342	$	0	$	0	$	34,342
621-660	4,130		4,752		2,817		1,496		815		326		14,336		0		0		14,336
620 or below	5,536		7,988		4,960		2,509		1,404		638		23,035		0		0		23,035
Total auto	20,942		23,614		14,035		7,401		4,074		1,647		71,713		0		0		71,713
Retail banking—Delinquency status:
Current	511		745		210		198		195		597		2,456		535		8		2,999
30-59 days	0		0		0		0		0		3		3		18		0		21
60-89 days	0		0		0		0		1		4		5		3		0		8
Greater than 90 days	0		0		0		1		2		4		7		10		1		18
Total retail banking(2)	511		745		210		199		198		608		2,471		566		9		3,046
Total consumer banking	$	21,453	$	24,359	$	14,245	$	7,600	$	4,272	$	2,255	$	74,184	$	566	$	9	$	74,759

	December 31, 2020
	Term Loans by Vintage Year
(Dollars in millions)	2020		2019		2018		2017		2016		Prior		Total Term Loans		Revolving Loans		Revolving Loans Converted to Term		Total
Auto—At origination FICO scores:(1)
Greater than 660	$	13,352	$	8,091	$	4,675	$	2,810	$	1,168	$	203	$	30,299	$	0	$	0	$	30,299
621-660	5,781		3,631		2,003		1,172		488		109		13,184		0		0		13,184
620 or below	9,550		6,298		3,317		1,985		886		243		22,279		0		0		22,279
Total auto	28,683		18,020		9,995		5,967		2,542		555		65,762		0		0		65,762
Retail banking—Delinquency status:
Current	1,041		233		206		222		167		537		2,406		651		7		3,064
30-59 days	0		0		7		1		2		2		12		15		1		28
60-89 days	0		0		1		0		5		4		10		8		1		19
Greater than 90 days	0		0		0		1		1		4		6		9		0		15
Total retail banking(2)	1,041		233		214		224		175		547		2,434		683		9		3,126
Total consumer banking	$	29,724	$	18,253	$	10,209	$	6,191	$	2,717	$	1,102	$	68,196	$	683	$	9	$	68,888

__________

(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.

(2)Includes PPP loans of $1.1 billion and $919 million as of June 30, 2021 and December 31, 2020, respectively.

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 for commercial loans. 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 June 30, 2021 and December 31, 2020. The internal risk rating status includes all past due loans, both performing and nonperforming.

Table 3.5: Commercial Banking Portfolio by Internal Risk Ratings

	June 30, 2021
	Term Loans by Vintage Year
(Dollars in millions)	2021		2020		2019		2018		2017		Prior		Total Term Loans		Revolving Loans		Revolving Loans Converted to Term		Total
Internal risk rating:(1)
Commercial and multifamily real estate
Noncriticized	$	1,636	$	3,437	$	4,331	$	2,956	$	1,025	$	4,838	$	18,223	$	7,983	$	0	$	26,206
Criticized performing	156		291		426		381		310		1,459		3,023		61		25		3,109
Criticized nonperforming	0		0		8		29		10		254		301		0		0		301
Total commercial and multifamily real estate	1,792		3,728		4,765		3,366		1,345		6,551		21,547		8,044		25		29,616
Commercial and industrial
Noncriticized	4,905		8,160		6,730		3,563		2,305		4,001		29,664		11,596		15		41,275
Criticized performing	87		169		844		275		163		200		1,738		734		0		2,472
Criticized nonperforming	47		62		57		74		29		21		290		168		0		458
Total commercial and industrial	5,039		8,391		7,631		3,912		2,497		4,222		31,692		12,498		15		44,205
Total commercial banking(2)	$	6,831	$	12,119	$	12,396	$	7,278	$	3,842	$	10,773	$	53,239	$	20,542	$	40	$	73,821

	December 31, 2020
	Term Loans by Vintage Year
(Dollars in millions)	2020		2019		2018		2017		2016		Prior		Total Term Loans		Revolving Loans		Revolving Loans Converted to Term		Total
Internal risk rating:(1)
Commercial and multifamily real estate
Noncriticized	$	3,791	$	4,932	$	3,232	$	1,437	$	1,649	$	4,904	$	19,945	$	7,114	$	0	$	27,059
Criticized performing	320		446		515		355		391		1,258		3,285		112		25		3,422
Criticized nonperforming	0		11		30		6		3		150		200		0		0		200
Total commercial and multifamily real estate	4,111		5,389		3,777		1,798		2,043		6,312		23,430		7,226		25		30,681
Commercial and industrial
Noncriticized	9,761		7,890		4,043		2,717		1,832		3,034		29,277		11,548		80		40,905
Criticized performing	316		794		521		252		106		215		2,204		1,498		42		3,744
Criticized nonperforming	74		108		25		51		9		0		267		183		0		450
Total commercial and industrial	10,151		8,792		4,589		3,020		1,947		3,249		31,748		13,229		122		45,099
Total commercial banking(2)	$	14,262	$	14,181	$	8,366	$	4,818	$	3,990	$	9,561	$	55,178	$	20,455	$	147	$	75,780

__________

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

(2)Includes PPP loans of $296 million and $238 million as of June 30, 2021 and December 31, 2020, respectively.

Troubled Debt Restructurings

Additional guidance issued by the Federal Banking Agencies and contained in the Coronavirus Aid, Relief, and Economic Security Act provides banking organizations with troubled debt restructurings (“TDRs”) relief for modifications of current borrowers impacted by the COVID-19 pandemic. In adherence with the guidance, we assessed all loan modifications introduced to current borrowers in response to the COVID-19 pandemic through June 30, 2021, that would have been designated as TDRs under our existing policies, and followed guidance that any such eligible loan modifications made on a temporary and good faith basis are not considered TDRs. We consider the impact of all loan modifications, including those classified as TDRs and those offered in response to the COVID-19 pandemic, when estimating the credit quality of our loan portfolio and establishing allowance levels. For our Commercial Banking customers, enrollment in a customer assistance program is also considered in the assignment of an internal risk rating.

Total recorded TDRs were $1.8 billion and $2.1 billion as of June 30, 2021 and December 31, 2020, respectively. TDRs classified as performing in our credit card and consumer banking loan portfolios totaled $1.2 billion and $1.3 billion as of June 30, 2021 and December 31, 2020, respectively. TDRs classified as performing in our commercial banking loan portfolio totaled $243 million and $442 million as of June 30, 2021 and December 31, 2020, respectively. Commitments to lend additional funds on loans modified in TDRs totaled $173 million as of both June 30, 2021 and December 31, 2020.

Loans Modified in TDRs

As part of our loan modification programs to borrowers experiencing financial difficulty, we may provide multiple concessions to minimize our economic loss and improve long-term loan performance and collectability. The following tables present the major modification types, amortized cost amounts and financial effects of loans modified in TDRs during the three and six months ended June 30, 2021 and 2020.

Table 3.6: Troubled Debt Restructurings

			Three Months Ended June 30, 2021
			Reduced Interest Rate				Term Extension
(Dollars in millions)	Total Loans Modified(1)		% of TDR Activity(2)		Average Rate Reduction		% of TDR Activity(2)		Average Term Extension (Months)
Credit Card:
Domestic credit card	$	33	100	%	16.07	%	0	%	0
International card businesses	27		100		27.45		0		0
Total credit card	60		100		21.22		0		0
Consumer Banking:
Auto	65		39		8.62		91		4
Retail banking	1		0		0.00		100		41
Total consumer banking	66		38		8.62		91		4
Commercial Banking:
Commercial and multifamily real estate	0		0		0.00		0		0
Commercial and industrial	34		0		0.00		56		17
Total commercial banking	34		0		0.00		56		17
Total	$	160	53		9.38		49		3

			Six Months Ended June 30, 2021
			Reduced Interest Rate				Term Extension
(Dollars in millions)	Total Loans Modified(1)		% of TDR Activity(2)		Average Rate Reduction		% of TDR Activity(2)		Average Term Extension (Months)
Credit Card:
Domestic credit card	$	77	100	%	16.10	%	0	%	0
International card businesses	66		100		27.62		0		0
Total credit card	143		100		21.43		0		0
Consumer Banking:
Auto	180		36		8.87		94		3
Retail banking	1		31		3.77		69		28
Total consumer banking	181		36		8.85		94		3
Commercial Banking:
Commercial and multifamily real estate	20		0		0.00		100		14
Commercial and industrial	78		0		0.00		38		8
Total commercial banking	98		0		0.00		51		11
Total	$	422	49		8.64		52		3

	Total Loans Modified(1)		Three Months Ended June 30, 2020
			Reduced Interest Rate				Term Extension			Balance Reduction
(Dollars in millions)			% of TDR Activity(2)		Average Rate Reduction		% of TDR Activity(2)		Average Term Extension (Months)	% of TDR Activity(2)		Gross Balance Reduction
Credit Card:
Domestic credit card	$	56	100	%	15.41	%	0	%	0	0	%	$	0
International card businesses	28		100		26.56		0		0	0		0
Total credit card	84		100		19.14		0		0	0		0
Consumer Banking:
Auto	137		5		4.12		95		3	0		0
Retail banking	1		10		8.37		59		4	0		0
Total consumer banking	138		5		4.19		95		3	0		0
Commercial Banking:
Commercial and multifamily real estate	9		0		0.00		100		7	0		0
Commercial and industrial	181		0		0.00		52		8	9		7
Total commercial banking	190		0		0.00		55		8	8		7
Total	$	412	22		17.96		57		5	4		$	7

	Total Loans Modified(1)		Six Months Ended June 30, 2020
			Reduced Interest Rate				Term Extension			Balance Reduction
(Dollars in millions)			% of TDR Activity(2)		Average Rate Reduction		% of TDR Activity(2)		Average Term Extension (Months)	% of TDR Activity(2)		Gross Balance Reduction
Credit Card:
Domestic credit card	$	145	100	%	16.05	%	0	%	0	0	%	$	0
International card businesses	79		100		27.05		0		0	0		0
Total credit card	224		100		19.94		0		0	0		0
Consumer Banking:
Auto	260		12		3.51		95		4	0		0
Retail banking	4		4		11.42		15		4	0		0
Total consumer banking	264		12		3.55		93		4	0		0
Commercial Banking:
Commercial and multifamily real estate	28		0		0.00		100		10	0		0
Commercial and industrial	188		0		0.00		50		8	8		7
Total commercial banking	216		0		0.00		57		9	7		7
Total	$	704	36		17.90		52		5	2		$	7

__________

(1)Represents the amortized cost of total loans modified in TDRs at the end of the period in which they were modified. As not every modification type is included in the table above, the total percentage of TDR activity may not add up to 100%. Some loans may receive more than one type of concession as part of the modification.

(2)Due to multiple concessions granted to some troubled borrowers, percentages may total more than 100% for certain loan types.

Subsequent Defaults of Completed TDR Modifications

The following table presents the type, number and amortized cost of loans modified in TDRs that experienced a default during the period and had completed a modification event in the twelve months prior to the default. A default occurs if the loan is either 90 days or more delinquent, has been charged off as of the end of the period presented or has been reclassified from accrual to nonaccrual status.

Table 3.7: TDRs—Subsequent Defaults

	Three Months Ended June 30,						Six Months Ended June 30,
	2021			2020			2021			2020
(Dollars in millions)	Number of Contracts	Amount		Number of Contracts	Amount		Number of Contracts	Amount		Number of Contracts	Amount
Credit Card:
Domestic credit card	4,226	$	8	9,582	$	21	9,360	$	18	20,468	$	43
International card businesses	14,827	23		17,508	25		32,029	51		35,365	51
Total credit card	19,053	31		27,090	46		41,389	69		55,833	94
Consumer Banking:
Auto	2,271	35		860	11		4,302	64		2,135	27
Retail banking	3	0		3	0		8	0		4	0
Total consumer banking	2,274	35		863	11		4,310	64		2,139	27
Commercial Banking:
Commercial and multifamily real estate	1	50		0	0		1	50		0	0
Commercial and industrial	6	82		1	21		6	82		7	49
Total commercial banking	7	132		1	21		7	132		7	49
Total	21,334	$	198	27,954	$	78	45,706	$	265	57,979	$	170

Loans Pledged

We pledged loan collateral of $11.6 billion and $14.1 billion to secure the majority of our FHLB borrowing capacity of $19.2 billion and $19.6 billion as of June 30, 2021 and December 31, 2020, respectively. We also pledged loan collateral of $26.9 billion and $25.5 billion to secure our Federal Reserve Discount Window borrowing capacity of $21.3 billion and $20.0 billion as of June 30, 2021 and December 31, 2020, respectively. In addition to loans pledged, we have securitized a portion of our credit card and auto loan portfolios. See “Note 5—Variable Interest Entities and Securitizations” for additional information

Revolving Loans Converted to Term Loans

For the three and six months ended June 30, 2021, we converted $38 million and $135 million of revolving loans to term loans, respectively, primarily in our domestic credit card and commercial banking loan portfolios. For the three and six months ended June 30, 2020, we converted $89 million and $249 million of revolving loans to term loans, respectively, primarily in our domestic credit card loan portfolio.

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Allowance for Credit Losses and Reserve for Unfunded Lending Commitments

6 Months Ended

Jun. 30, 2021

Accounts, Notes, Loans and Financing Receivable, Gross, Allowance, and Net [Abstract]

Allowance for Credit Losses and Reserve for Unfunded Lending Commitment

NOTE 4—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. 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. 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. Significant judgment is applied in our estimation of lifetime 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 “Note 1—Summary of Significant Accounting Policies” in our 2020 Form 10-K for further discussion of the methodology and policy 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 six months ended June 30, 2021 and 2020. Our allowance for credit losses decreased by $3.2 billion to $12.3 billion as of June 30, 2021 from December 31, 2020, primarily driven by strong credit performance and an improved economic outlook.

Table 4.1: Allowance for Credit Losses and Reserve for Unfunded Lending Commitments Activity

	Three Months Ended June 30, 2021
(Dollars in millions)	Credit Card		Consumer Banking		Commercial Banking		Total
Allowance for credit losses:
Balance as of March 31, 2021	$	10,072	$	2,498	$	1,447	$	14,017
Charge-offs	(967)		(260)		(8)		(1,235)
Recoveries(1)	396		271		27		694
Net recoveries (charge-offs)	(571)		11		19		(541)
Provision (benefit) for credit losses	(635)		(306)		(196)		(1,137)
Allowance build (release) for credit losses	(1,206)		(295)		(177)		(1,678)
Other changes(2)	7		0		0		7
Balance as of June 30, 2021	8,873		2,203		1,270		12,346
Reserve for unfunded lending commitments:
Balance as of March 31, 2021	0		0		187		187
Provision (benefit) for losses on unfunded lending commitments	0		0		(23)		(23)
Balance as of June 30, 2021	0		0		164		164
Combined allowance and reserve as of June 30, 2021	$	8,873	$	2,203	$	1,434	$	12,510

	Six Months Ended June 30, 2021
(Dollars in millions)	Credit Card		Consumer Banking		Commercial Banking		Total
Allowance for credit losses:
Balance as of December 31, 2020	$	11,191	$	2,715	$	1,658	$	15,564
Charge-offs	(1,960)		(602)		(27)		(2,589)
Recoveries(1)	756		522		30		1,308
Net recoveries (charge-offs)	(1,204)		(80)		3		(1,281)
Provision (benefit) for credit losses	(1,127)		(432)		(391)		(1,950)
Allowance build (release) for credit losses	(2,331)		(512)		(388)		(3,231)
Other changes(2)	13		0		0		13
Balance as of June 30, 2021	8,873		2,203		1,270		12,346
Reserve for unfunded lending commitments:
Balance as of December 31, 2020	0		0		195		195
Provision (benefit) for losses on unfunded lending commitments	0		0		(31)		(31)
Balance as of June 30, 2021	0		0		164		164
Combined allowance and reserve as of June 30, 2021	$	8,873	$	2,203	$	1,434	$	12,510

	Three Months Ended June 30, 2020
(Dollars in millions)	Credit Card		Consumer Banking		Commercial Banking		Total
Allowance for credit losses:
Balance as of March 31, 2020	$	10,346	$	2,154	$	1,573	$	14,073
Charge-offs	(1,612)		(416)		(103)		(2,131)
Recoveries(1)	401		224		1		626
Net charge-offs	(1,211)		(192)		(102)		(1,505)
Provision (benefit) for credit losses	2,944		876		432		4,252
Allowance build (release) for credit losses	1,733		684		330		2,747
Other changes(2)	12		0		0		12
Balance as of June 30, 2020	12,091		2,838		1,903		16,832
Reserve for unfunded lending commitments:
Balance as of March 31, 2020	0		0		223		223
Provision (benefit) for losses on unfunded lending commitments	0		0		(5)		(5)
Balance as of June 30, 2020	0		0		218		218
Combined allowance and reserve as of June 30, 2020	$	12,091	$	2,838	$	2,121	$	17,050

	Six Months Ended June 30, 2020
(Dollars in millions)	Credit Card		Consumer Banking		Commercial Banking		Total
Allowance for credit losses:
Balance as of December 31, 2019	$	5,395	$	1,038	$	775	$	7,208
Cumulative effects from adoption of the CECL standard	2,241		502		102		2,845
Finance charge and fee reserve reclassification(3)	462		0		0		462
Balance as of January 1, 2020	8,098		1,540		877		10,515
Charge-offs	(3,461)		(912)		(215)		(4,588)
Recoveries(1)	814		474		4		1,292
Net charge-offs	(2,647)		(438)		(211)		(3,296)
Provision (benefit) for credit losses	6,646		1,736		1,237		9,619
Allowance build (release) for credit losses	3,999		1,298		1,026		6,323
Other changes(2)	(6)		0		0		(6)
Balance as of June 30, 2020	12,091		2,838		1,903		16,832
Reserve for unfunded lending commitments:
Balance as of December 31, 2019	0		5		130		135
Cumulative effects from adoption of the CECL standard	0		(5)		42		37
Balance as of January 1, 2020	0		0		172		172
Provision (benefit) for losses on unfunded lending commitments	0		0		46		46
Balance as of June 30, 2020	0		0		218		218
Combined allowance and reserve as of June 30, 2020	$	12,091	$	2,838	$	2,121	$	17,050

__________

(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)Represents foreign currency translation adjustments.

(3)Concurrent with our adoption of the CECL standard in the first quarter of 2020, we reclassified our finance charge and fee reserve to our allowance for credit losses, with a corresponding increase to credit card loans held for investment.

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 to net charge-offs and the provision for credit losses. See “Note 1—Summary of Significant Accounting Policies” in our 2020 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 six months ended June 30, 2021 and 2020.

Table 4.2: Summary of Credit Card Partnership Loss Sharing Arrangements Impacts

	Three Months Ended June 30,
(Dollars in millions)	2021		2020
Estimated reimbursements from partners, beginning of period	$	2,005	$	2,653
Amounts due from partners which reduced net charge-offs	(128)		(293)
Amounts estimated to be charged (from) to partners which reduced provision for credit losses	(166)		73
Estimated reimbursements from partners, end of period	$	1,711	$	2,433

	Six Months Ended June 30,
(Dollars in millions)	2021		2020
Estimated reimbursements from partners, beginning of period	$	2,159	$	2,166
Amounts due from partners which reduced net charge-offs	(269)		(595)
Amounts estimated to be charged (from) to partners which reduced provision for credit losses	(179)		862
Estimated reimbursements from partners, end of period	$	1,711	$	2,433

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Variable Interest Entities and Securitizations

6 Months Ended

Jun. 30, 2021

Variable Interest Entities and Securitization [Abstract]

Variable Interest Entities and Securitizations

NOTE 5—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 have provided a source of funding for us and enabled 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 our maximum 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 June 30, 2021 and December 31, 2020. We separately present information for consolidated and unconsolidated VIEs.

Table 5.1: Carrying Amount of Consolidated and Unconsolidated VIEs

	June 30, 2021
	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)	$	20,671	$	9,115	$	0	$	0	$	0
Auto loan securitizations	1,768		1,509		0		0		0
Total securitization-related VIEs	22,439		10,624		0		0		0
Other VIEs:(3)
Affordable housing entities	272		31		4,763		1,427		4,763
Entities that provide capital to low-income and rural communities	2,035		26		0		0		0
Other	0		0		411		0		411
Total other VIEs	2,307		57		5,174		1,427		5,174
Total VIEs	$	24,746	$	10,681	$	5,174	$	1,427	$	5,174

	December 31, 2020
	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)	$	22,066	$	10,338	$	0	$	0	$	0
Auto loan securitizations	2,360		2,055		0		0		0
Total securitization-related VIEs	24,426		12,393		0		0		0
Other VIEs:(3)
Affordable housing entities	242		17		4,602		1,240		4,602
Entities that provide capital to low-income and rural communities	1,951		26		0		0		0
Other	0		0		436		0		436
Total other VIEs	2,193		43		5,038		1,240		5,038
Total VIEs	$	26,619	$	12,436	$	5,038	$	1,240	$	5,038

__________

(1)Excludes insignificant VIEs from previously exited businesses.

(2)Represents the carrying amount of assets and liabilities owned by 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 in turn 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 $2.2 billion of assets and $606 million of liabilities as of June 30, 2021, and $2.3 billion of assets and $596 million of liabilities as of December 31, 2020.

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 enterprise (“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 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 us. 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 6—Goodwill and Intangible Assets” for information related to our MSRs associated with these securitizations and “Note 2—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 also excluded these VIEs from the tables presented in this note. See “Note 3—Loans” for additional information regarding our lending arrangements in the normal course of business.

The table below presents our continuing involvement in certain securitization-related VIEs as of June 30, 2021 and December 31, 2020.

Table 5.2: Continuing Involvement in Securitization-Related VIEs

(Dollars in millions)	Credit Card		Auto
June 30, 2021:
Securities held by third-party investors	$	9,054	$	1,507
Receivables in the trust	21,803		1,664
Cash balance of spread or reserve accounts	0		10
Retained interests	Yes		Yes
Servicing retained	Yes		Yes
December 31, 2020:
Securities held by third-party investors	$	10,361	$	2,053
Receivables in the trust	23,683		2,243
Cash balance of spread or reserve accounts	0		10
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 securitization involves 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. 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 certain investments in qualified affordable housing projects using the proportional amortization method if certain criteria are met. The proportional amortization method amortizes the cost of the investment 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 six months ended June 30, 2021 and June 30, 2020, we recognized amortization of $317 million and $285 million, respectively, and tax credits of $423 million and $622 million, respectively, associated with these investments within income tax provision or benefit. The carrying value of our equity investments in these qualified affordable housing projects was $4.6 billion and $4.5 billion as of June 30, 2021 and December 31, 2020, 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 $1.6 billion and $1.5 billion as of June 30, 2021 and December 31, 2020, respectively, and is largely expected to be paid from 2021 to 2023.

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 $4.8 billion and $4.6 billion as of June 30, 2021 and December 31, 2020, 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 $11.6 billion and $11.0 billion as of June 30, 2021 and December 31, 2020, 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 be potentially 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 $2.0 billion as of both June 30, 2021 and December 31, 2020 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 were 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 $411 million and $436 million as of June 30, 2021 and December 31, 2020, 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.

XML

Goodwill and Intangible Assets

6 Months Ended

Jun. 30, 2021

Goodwill and Intangible Assets Disclosure [Abstract]

Goodwill and Intangible Assets

NOTE 6—GOODWILL AND INTANGIBLE ASSETS

The table below presents our goodwill, intangible assets and MSRs as of June 30, 2021 and December 31, 2020. Goodwill is presented separately, while intangible assets and MSRs are included in other assets on our consolidated balance sheets.

Table 6.1: Components of Goodwill, Intangible Assets and MSRs

	June 30, 2021
(Dollars in millions)	Carrying Amount of Assets		Accumulated Amortization		Net Carrying Amount
Goodwill	$	14,654	N/A		$	14,654
Intangible assets:
Purchased credit card relationship (“PCCR”) intangibles	148		$	(139)	9
Other(1)	183		(112)		71
Total intangible assets	331		(251)		80
Total goodwill and intangible assets	$	14,985	$	(251)	$	14,734
Commercial MSRs(2)	$	582	$	(189)	$	393
	December 31, 2020
(Dollars in millions)	Carrying Amount of Assets		Accumulated Amortization		Net Carrying Amount
Goodwill	$	14,653	N/A		$	14,653
Intangible assets:
PCCR intangibles	148		$	(138)	10
Other(1)	248		(168)		80
Total intangible assets	396		(306)		90
Total goodwill and intangible assets	$	15,049	$	(306)	$	14,743
Commercial MSRs(2)	$	542	$	(175)	$	367

__________

(1)Primarily consists of intangibles for sponsorship, customer and merchant relationships, partnership, trade name and other contract intangibles.

(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 $5 million and $11 million for the three and six months ended June 30, 2021, respectively, and $16 million and $38 million for the three and six months ended June 30, 2020, respectively.

Goodwill

The following table presents changes in carrying amount of goodwill by each of our business segments as of June 30, 2021 and December 31, 2020.

Table 6.2: Goodwill by Business Segments

(Dollars in millions)	Credit Card		Consumer Banking		Commercial Banking		Total
Balance as of December 31, 2020	$	5,088	$	4,645	$	4,920	$	14,653
Other adjustments(1)	1		0		0		1
Balance as of June 30, 2021	$	5,089	$	4,645	$	4,920	$	14,654

__________

(1)Represents foreign currency translation adjustments.

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Deposits and Borrowings

6 Months Ended

Jun. 30, 2021

Debt Disclosure [Abstract]

Deposits and Borrowings

NOTE 7—DEPOSITS AND BORROWINGS

Our deposits represent our largest source of funding for our assets and operations, which include checking accounts, money market deposits, negotiable order of withdrawals, savings deposits and time deposits. 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 and securities loaned or sold under agreements to repurchase. 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 June 30, 2021 and December 31, 2020. The carrying value presented below for these borrowings includes unamortized debt premiums and discounts, net of debt issuance costs and fair value hedge accounting adjustments.

Table 7.1: Components of Deposits, Short-Term Borrowings and Long-Term Debt

(Dollars in millions)	June 30, 2021		December 31, 2020
Deposits:
Non-interest-bearing deposits	$	34,994	$	31,142
Interest-bearing deposits(1)	271,314		274,300
Total deposits	$	306,308	$	305,442
Short-term borrowings:
Federal funds purchased and securities loaned or sold under agreements to repurchase	$	845	$	668
Total short-term borrowings	$	845	$	668

	June 30, 2021						December 31, 2020
(Dollars in millions)	Maturity Dates	Stated Interest Rates	Weighted-Average Interest Rate		Carrying Value		Carrying Value
Long-term debt:
Securitized debt obligations	2021-2026	0.42% - 2.84%	1.85	%	$	10,561	$	12,414
Senior and subordinated notes:
Fixed unsecured senior debt(2)	2021-2029	0.80 - 4.75	3.20		18,883		21,045
Floating unsecured senior debt	2022-2023	0.91 - 1.34	1.09		1,359		1,609
Total unsecured senior debt			3.06		20,242		22,654
Fixed unsecured subordinated debt	2023-2026	3.38 - 4.20	3.78		4,636		4,728
Total senior and subordinated notes					24,878		27,382
Other long-term borrowings:
Finance lease liabilities	2021-2031	0.25 - 9.91	4.07		59		75
Total other long-term borrowings					59		75
Total long-term debt					$	35,498	$	39,871
Total short-term borrowings and long-term debt					$	36,343	$	40,539

__________

(1)Includes $2.1 billion and $4.2 billion of time deposits in denominations in excess of the $250,000 federal insurance limit as of June 30, 2021 and December 31, 2020, respectively.

(2)Includes $1.5 billion and $1.6 billion of EUR-denominated unsecured notes as of June 30, 2021 and December 31, 2020, respectively.

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Derivative Instruments and Hedging Activities

6 Months Ended

Jun. 30, 2021

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Derivative Instruments and Hedging Activities

NOTE 8—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 exposures denominated in foreign currencies. We primarily use interest rate and foreign currency swaps to hedge, 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 then enter into derivative contracts with counterparties to economically hedge substantially all of our subsequent exposures.

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. Our fair value hedges primarily consist of interest rate swaps that are intended to modify our exposure to interest rate risk on various fixed-rate financial assets and liabilities.

•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 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. Our cash flow hedges use interest rate swaps and floors that are intended to hedge the variability in interest receipts or interest payments on some of our variable-rate financial assets or liabilities. 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.

Derivatives Counterparty Credit Risk

Counterparty Types

Derivative instruments contain an element of credit risk that arises 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 arrangements, where possible, and exchanging collateral with our counterparties, typically in the form of cash or high-quality liquid securities. The amount of collateral exchanged 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. 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 cash collateral received or pledged. See Table 8.3 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. 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 upfront by CCPs as collateral against potential losses on our 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, we characterize variation margin cash payments 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 legally enforceable master netting agreements and collateral agreements, where possible, with bilateral derivative counterparties to mitigate the risk of default. We review our collateral positions on a daily basis and exchange collateral with our counterparties in accordance with these agreements. 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 derivative instruments 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.

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 June 30, 2021 and December 31, 2020, 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 8.1: Derivative Assets and Liabilities at Fair Value

	June 30, 2021						December 31, 2020
	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	$	44,361	$	5	$	7	$	47,349	$	9	$	10
Cash flow hedges	86,900		481		12		82,150		748		1
Total interest rate contracts	131,261		486		19		129,499		757		11
Foreign exchange contracts:
Fair value hedges	1,482		83		0		1,527		164		0
Cash flow hedges	4,233		35		33		4,582		0		161
Net investment hedges	3,397		0		144		3,116		0		196
Total foreign exchange contracts	9,112		118		177		9,225		164		357
Total derivatives designated as accounting hedges	140,373		604		196		138,724		921		368
Derivatives not designated as accounting hedges:
Customer accommodation:
Interest rate contracts	68,537		935		173		68,459		1,429		198
Commodity contracts	16,776		2,093		1,963		16,871		935		820
Foreign exchange and other contracts	4,450		39		31		4,677		58		70
Total customer accommodation	89,763		3,067		2,167		90,007		2,422		1,088
Other interest rate exposures(2)	1,209		45		46		1,770		71		56
Other contracts	1,988		0		1		1,826		1		6
Total derivatives not designated as accounting hedges	92,960		3,112		2,214		93,603		2,494		1,150
Total derivatives	$	233,333	$	3,716	$	2,410	$	232,327	$	3,415	$	1,518
Less: netting adjustment(3)			(964)		(850)				(1,148)		(739)
Total derivative assets/liabilities			$	2,752	$	1,560			$	2,267	$	779

__________

(1)Does not reflect $23 million and $31 million recognized as a net valuation allowance on derivative assets and liabilities for non-performance risk as of June 30, 2021 and December 31, 2020, respectively. Non-performance risk is included in derivative assets and liabilities, which are 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.

(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 June 30, 2021 and December 31, 2020.

Table 8.2: Hedged Items in Fair Value Hedging Relationships

	June 30, 2021						December 31, 2020
	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)	$	9,936	$	467	$	188	$	9,797	$	590	$	200
Interest-bearing deposits	(9,882)		(124)		0		(11,312)		(213)		0
Securitized debt obligations	(6,926)		(84)		9		(7,609)		(171)		20
Senior and subordinated notes	(20,267)		(879)		(597)		(21,927)		(1,282)		(666)

__________

(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 $249 million, the amount of the designated hedged items was $225 million, and the cumulative basis adjustments associated with these hedges was $1 million as of June 30, 2021. We had no such hedging relationships as of December 31, 2020.

(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 arrangements 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 arrangements for balance sheet presentation where a right of setoff exists. For derivative contracts entered into under master netting arrangements for which we have not been able to confirm the enforceability of the setoff rights, or those not subject to master netting arrangements, 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 June 30, 2021 and December 31, 2020. 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.

Table 8.3: 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 June 30, 2021
Derivative assets(1)	$	3,716	$	(441)	$	(523)	$	2,752	$	0	$	2,752
As of December 31, 2020
Derivative assets(1)	3,415		(383)		(765)		2,267		0		2,267

	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 June 30, 2021
Derivative liabilities(1)	$	2,410	$	(441)	$	(409)	$	1,560	$	0	$	1,560
Repurchase agreements(2)	845		0		0		845		(845)		0
As of December 31, 2020
Derivative liabilities(1)	1,518		(383)		(356)		779		0		779
Repurchase agreements(2)	668		0		0		668		(668)		0

__________

(1)We received cash collateral from derivative counterparties totaling $574 million and $862 million as of June 30, 2021 and December 31, 2020, respectively. We also received securities from derivative counterparties with a fair value of approximately $1 million as of both June 30, 2021 and December 31, 2020, respectively, which we have the ability to re-pledge. We posted $2.1 billion and $1.5 billion of cash collateral as of June 30, 2021 and December 31, 2020, respectively.

(2)Under our customer repurchase agreements, which mature the next business day, we pledged collateral with a fair value of $862 million and $682 million as of June 30, 2021 and December 31, 2020, respectively, primarily consisting of agency RMBS securities.

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 six months ended June 30, 2021 and 2020.

Table 8.4: Effects of Fair Value and Cash Flow Hedge Accounting

	Three Months Ended June 30, 2021
	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	$	370	$	5,753	$	16	$	(237)	$	(28)	$	(122)	$	231
Fair value hedging relationships:
Interest rate and foreign exchange contracts:
Interest recognized on derivatives	$	(25)	$	0	$	0	$	34	$	30	$	56	$	0
Gains (losses) recognized on derivatives	11		0		0		(31)		(17)		0		16
Gains (losses) recognized on hedged items(1)	(18)		0		0		31		11		33		(16)
Excluded component of fair value hedges(2)	0		0		0		0		0		0		0
Net income (expense) recognized on fair value hedges	$	(32)	$	0	$	0	$	34	$	24	$	89	$	0
Cash flow hedging relationships:(3)
Interest rate contracts:
Realized gains (losses) reclassified from AOCI into net income	$	11	$	234	$	0	$	0	$	0	$	0	$	0
Foreign exchange contracts:
Realized gains (losses) reclassified from AOCI into net income(4)	0		0		0		0		0		0		1
Net income (expense) recognized on cash flow hedges	$	11	$	234	$	0	$	0	$	0	$	0	$	1

	Six Months Ended June 30, 2021
	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	$	761	$	11,607	$	32	$	(506)	$	(60)	$	(251)	$	349
Fair value hedging relationships:
Interest rate and foreign exchange contracts:
Interest recognized on derivatives	$	(50)	$	0	$	0	$	70	$	63	$	118	$	0
Gains (losses) recognized on derivatives	111		0		0		(89)		(97)		(336)		(45)
Gains (losses) recognized on hedged items(1)	(123)		0		0		89		86		401		45
Excluded component of fair value hedges(2)	0		0		0		0		0		(1)		0
Net income (expense) recognized on fair value hedges	$	(62)	$	0	$	0	$	70	$	52	$	182	$	0
Cash flow hedging relationships:(3)
Interest rate contracts:
Realized gains (losses) reclassified from AOCI into net income	$	20	$	460	$	0	$	0	$	0	$	0	$	0
Foreign exchange contracts:
Realized gains (losses) reclassified from AOCI into net income(4)	0		0		1		0		0		0		1
Net income (expense) recognized on cash flow hedges	$	20	$	460	$	1	$	0	$	0	$	0	$	1

	Three Months Ended June 30, 2020
	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	$	482	$	5,820	$	16	$	(611)	$	(56)	$	(180)	$	166
Fair value hedging relationships:
Interest rate and foreign exchange contracts:
Interest recognized on derivatives	$	(17)	$	0	$	0	$	27	$	40	$	71	$	0
Gains (losses) recognized on derivatives	(26)		0		0		9		(13)		61		26
Gains (losses) recognized on hedged items(1)	22		0		0		(10)		0		(68)		(26)
Excluded component of fair value hedges(2)	0		0		0		0		0		0		0
Net income (expense) recognized on fair value hedges	$	(21)	$	0	$	0	$	26	$	27	$	64	$	0
Cash flow hedging relationships:(3)
Interest rate contracts:
Realized gains (losses) reclassified from AOCI into net income	$	7	$	135	$	0	$	0	$	0	$	0	$	0
Foreign exchange contracts:
Realized gains (losses) reclassified from AOCI into net income(4)	0		0		2		0		0		0		(2)
Net income (expense) recognized on cash flow hedges	$	7	$	135	$	2	$	0	$	0	$	0	$	(2)

	Six Months Ended June 30, 2020
	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	$	1,012	$	12,362	$	53	$	(1,342)	$	(155)	$	(419)	$	311
Fair value hedging relationships:
Interest rate and foreign exchange contracts:
Interest recognized on derivatives	$	(28)	$	0	$	0	$	25	$	52	$	110	$	0
Gains (losses) recognized on derivatives	(364)		0		0		296		269		1,129		3
Gains (losses) recognized on hedged items(1)	360		0		0		(296)		(292)		(1,159)		(3)
Excluded component of fair value hedges(2)	0		0		0		0		0		(1)		0
Net income (expense) recognized on fair value hedges	$	(32)	$	0	$	0	$	25	$	29	$	79	$	0
Cash flow hedging relationships:(3)
Interest rate contracts:
Realized gains reclassified from AOCI into net income	$	9	$	159	$	0	$	0	$	0	$	0	$	0
Foreign exchange contracts:
Realized gains (losses) reclassified from AOCI into net income(4)	0		0		9		0		0		0		(2)
Net income (expense) recognized on cash flow hedges	$	9	$	159	$	9	$	0	$	0	$	0	$	(2)

_________

(1)Includes amortization benefit of $22 million and $44 million for the three and six months ended June 30, 2021, respectively, and amortization expense of $17 million and $53 million, respectively, for the three and six months ended June 30, 2020, 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. The initial value of the excluded component is recognized in earnings over the life of the swap under the amortization approach.

(3)See “Note 9—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 gain of $77 million and $162 million for the three and six months ended June 30, 2021, respectively, and a loss of $299 million and a gain of $93 million for the three and six months ended June 30, 2020, 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 net after-tax gains of $507 million recorded in AOCI as of June 30, 2021. These amounts will offset the cash flows associated with the hedged forecasted transactions. The maximum length of time over which forecasted transactions were hedged was approximately 6.7 years as of June 30, 2021. 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.

Free-Standing Derivatives

The net impacts to our consolidated statements of income related to free-standing derivatives are presented below for the three and six months ended June 30, 2021 and 2020. These gains or losses are recognized in other non-interest income on our consolidated statements of income.

Table 8.5: Gains (Losses) on Free-Standing Derivatives

	Three Months Ended June 30,				Six Months Ended June 30,
(Dollars in millions)	2021		2020		2021		2020
Gains (losses) recognized in other non-interest income:
Customer accommodation:
Interest rate contracts	$	8	$	(1)	$	18	$	12
Commodity contracts	4		(1)		9		16
Foreign exchange and other contracts	4		1		8		4
Total customer accommodation	16		(1)		35		32
Other interest rate exposures	(27)		(34)		(16)		(16)
Other contracts	(1)		1		(1)		0
Total	$	(12)	$	(34)	$	18	$	16

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Stockholders' Equity

6 Months Ended

Jun. 30, 2021

Equity [Abstract]

Stockholders' Equity

NOTE 9—STOCKHOLDERS’ EQUITY

Preferred Stock

The following table summarizes our preferred stock outstanding as of June 30, 2021 and December 31, 2020.

Table 9.1: Preferred Stock Outstanding(1)

			Redeemable by Issuer Beginning	Per Annum Dividend Rate	Dividend Frequency	Liquidation Preference per Share		Total Shares Outstanding as of June 30, 2021	Carrying Value (in millions)
Series	Description	Issuance Date							June 30, 2021		December 31, 2020
Series E	Fixed-to-Floating Rate Non-Cumulative	May 14, 2015	June 1, 2020	5.550% through 5/31/2020; 3-mo. LIBOR + 380 bps thereafter	Semi-Annually through 5/31/2020; Quarterly thereafter	$	1,000	1,000,000	$	988	$	988
Series G	5.200% Non-Cumulative	July 29, 2016	December 1, 2021	5.200	Quarterly	1,000		600,000	583		583
Series H	6.000% Non-Cumulative	November 29, 2016	December 1, 2021	6.000	Quarterly	1,000		500,000	483		483
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	653		0
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 +3.157%	Quarterly	1,000		1,000,000	988		0
Total									$	6,488	$	4,847

__________

(1)Except for Series E and 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 includes the AOCI impacts from the adoption of the CECL standard and the changes in AOCI by component for the three and six months ended June 30, 2021 and 2020.

Table 9.2: AOCI

	Three Months Ended June 30, 2021
(Dollars in millions)	Securities Available for Sale		Hedging Relationships(1)		Foreign Currency Translation Adjustments(2)		Other		Total
AOCI as of March 31, 2021	$	1,038	$	781	$	(12)	$	(24)	$	1,783
Other comprehensive income (loss) before reclassifications	51		193		9		0		253
Amounts reclassified from AOCI into earnings	0		(244)		0		0		(244)
Other comprehensive income (loss), net of tax	51		(51)		9		0		9
AOCI as of June 30, 2021	$	1,089	$	730	$	(3)	$	(24)	$	1,792

	Six Months Ended June 30, 2021
(Dollars in millions)	Securities Available for Sale		Hedging Relationships(1)		Foreign Currency Translation Adjustments(2)		Other		Total
AOCI as of December 31, 2020	$	2,186	$	1,362	$	(31)	$	(23)	$	3,494
Other comprehensive income (loss) before reclassifications	(1,094)		(145)		28		0		(1,211)
Amounts reclassified from AOCI into earnings	(3)		(487)		0		(1)		(491)
Other comprehensive income (loss), net of tax	(1,097)		(632)		28		(1)		(1,702)
AOCI as of June 30, 2021	$	1,089	$	730	$	(3)	$	(24)	$	1,792

	Three Months Ended June 30, 2020
(Dollars in millions)	Securities Available for Sale		Hedging Relationships(1)		Foreign Currency Translation Adjustments(2)		Other		Total
AOCI as of March 31, 2020	$	2,151	$	1,728	$	(174)	$	(26)	$	3,679
Other comprehensive income (loss) before reclassifications	222		(60)		23		0		185
Amounts reclassified from AOCI into earnings	0		117		0		0		117
Other comprehensive income, net of tax	222		57		23		0		302
AOCI as of June 30, 2020	$	2,373	$	1,785	$	(151)	$	(26)	$	3,981

	Six Months Ended June 30, 2020
(Dollars in millions)	Securities Available for Sale		Hedging Relationships(1)		Foreign Currency Translation Adjustments(2)		Other		Total
AOCI as of December 31, 2019	$	935	$	354	$	(107)	$	(26)	$	1,156
Cumulative effects from the adoption of the CECL standard	(8)		0		0		0		(8)
Other comprehensive income (loss) before reclassifications	1,446		1,635		(44)		0		3,037
Amounts reclassified from AOCI into earnings	0		(204)		0		0		(204)
Other comprehensive income (loss), net of tax	1,446		1,431		(44)		0		2,833
AOCI as of June 30, 2020	$	2,373	$	1,785	$	(151)	$	(26)	$	3,981

__________

(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 loss of $13 million and $34 million for the three and six months ended June 30, 2021, respectively, and other comprehensive loss of $8 million and gain of $134 million for the three and six months ended June 30, 2020, respectively, from hedging instruments designated as net investment hedges.

The following table presents amounts reclassified from each component of AOCI to our consolidated statements of income for the three and six months ended June 30, 2021 and 2020.

Table 9.3: Reclassifications from AOCI

(Dollars in millions)		Three Months Ended June 30,				Six Months Ended June 30,
AOCI Components	Affected Income Statement Line Item	2021		2020		2021		2020
Securities available for sale:
	Non-interest income	$	0	$	0	$	4	$	0
	Income tax provision	0		0		1		0
	Net income	0		0		3		0
Hedging relationships:
Interest rate contracts:	Interest income	245		142		480		168
Foreign exchange contracts:	Interest income	0		2		1		9
	Interest expense	(1)		(1)		(2)		(2)
	Non-interest income	77		(299)		162		93
	Income (loss) from continuing operations before income taxes	321		(156)		641		268
	Income tax provision (benefit)	77		(39)		154		64
	Net income (loss)	244		(117)		487		204
Other:
	Non-interest income and non-interest expense	0		0		1		0
	Income tax provision	0		0		0		0
	Net income	0		0		1		0
Total reclassifications		$	244	$	(117)	$	491	$	204

The table below summarizes other comprehensive income (loss) activity and the related tax impact for the three and six months ended June 30, 2021 and 2020.

Table 9.4: Other Comprehensive Income (Loss)

	Three Months Ended June 30,
	2021						2020
(Dollars in millions)	Before Tax		Provision (Benefit)		After Tax		Before Tax		Provision (Benefit)		After Tax
Other comprehensive income (loss):
Net unrealized gains on securities available for sale	$	66	$	15	$	51	$	292	$	70	$	222
Net unrealized gains (losses) on hedging relationships	(68)		(17)		(51)		76		19		57
Foreign currency translation adjustments(1)	4		(5)		9		20		(3)		23
Other	0		0		0		0		0		0
Other comprehensive income (loss)	$	2	$	(7)	$	9	$	388	$	86	$	302

	Six Months Ended June 30,
	2021						2020
(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	$	(1,446)	$	(349)	$	(1,097)	$	1,902	$	456	$	1,446
Net unrealized gains (losses) on hedging relationships	(834)		(202)		(632)		1,884		453		1,431
Foreign currency translation adjustments(1)	17		(11)		28		(1)		43		(44)
Other	(1)		0		(1)		0		0		0
Other comprehensive income (loss)	$	(2,264)	$	(562)	$	(1,702)	$	3,785	$	952	$	2,833

__________

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

XML

Earnings Per Common Share

6 Months Ended

Jun. 30, 2021

Earnings Per Share [Abstract]

Earnings Per Common Share

NOTE 10—EARNINGS PER COMMON SHARE

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

Table 10.1: Computation of Basic and Diluted Earnings per Common Share

	Three Months Ended June 30,				Six Months Ended June 30,
(Dollars and shares in millions, except per share data)	2021		2020		2021		2020
Income (loss) from continuing operations, net of tax	$	3,537	$	(917)	$	6,864	$	(2,257)
Loss from discontinued operations, net of tax	(1)		(1)		(3)		(1)
Net income (loss)	3,536		(918)		6,861		(2,258)
Dividends and undistributed earnings allocated to participating securities	(30)		(1)		(58)		(4)
Preferred stock dividends	(60)		(90)		(121)		(145)
Issuance cost for redeemed preferred stock	0		0		0		(22)
Net income (loss) available to common stockholders	$	3,446	$	(1,009)	$	6,682	$	(2,429)
Total weighted-average basic common shares outstanding	450.6		456.7		454.6		457.1
Effect of dilutive securities:(1)
Stock options	0.8		0.0		0.8		0.0
Other contingently issuable shares	0.9		0.0		0.8		0.0
Total effect of dilutive securities	1.7		0.0		1.6		0.0
Total weighted-average diluted common shares outstanding	452.3		456.7		456.2		457.1
Basic earnings per common share:
Net income (loss) from continuing operations	$	7.65	$	(2.21)	$	14.70	$	(5.31)
Net income (loss) per basic common share	$	7.65	$	(2.21)	$	14.70	$	(5.31)
Diluted earnings per common share:(1)
Net income (loss) from continuing operations	$	7.62	$	(2.21)	$	14.65	$	(5.31)
Net income (loss) per diluted common share	$	7.62	$	(2.21)	$	14.65	$	(5.31)

__________

(1)For the three months ended June 30, 2021, no shares were excluded from the computation of diluted earnings per share. For the six months ended June 30, 2021, awards of 51 thousand shares were excluded from the computation of diluted earnings per share because their inclusion would be anti-dilutive. In periods of net loss available to common stockholders, dilutive securities are excluded as their inclusion would have an anti-dilutive effect. Accordingly, for the three and six months ended June 30, 2020, awards of 362 thousand shares and options of 2.6 million shares with an exercise price ranging from $45.75 to $86.34 and awards of 956 thousand shares and options of 2.7 million shares with an exercise price ranging from $36.55 to $86.34 were excluded from the computation of diluted earnings per share

XML

Fair Value Measurement

6 Months Ended

Jun. 30, 2021

Fair Value Disclosures [Abstract]

Fair Value Measurement

NOTE 11—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 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. 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. 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. For additional information on the valuation techniques used in estimating the fair value of our financial assets and liabilities on a recurring basis, see “Note 16—Fair Value Measurement” in our 2020 Form 10-K.

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 June 30, 2021 and December 31, 2020.

Table 11.1: Assets and Liabilities Measured at Fair Value on a Recurring Basis

	June 30, 2021
	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	$	9,231	$	0	$	0	—		$	9,231
RMBS	0		78,033		289		—		78,322
CMBS	0		11,078		9		—		11,087
Other securities	171		2,955		0		—		3,126
Total securities available for sale	9,402		92,066		298		—		101,766
Loans held for sale	0		371		0		—		371
Other assets:
Derivative assets(2)	602		2,985		129		$	(964)	2,752
Other(3)	496		2		46		0		544
Total assets	$	10,500	$	95,424	$	473	$	(964)	$	105,433
Liabilities:
Other liabilities:
Derivative liabilities(2)	$	1,144	$	1,156	$	110	$	(850)	$	1,560
Total liabilities	$	1,144	$	1,156	$	110	$	(850)	$	1,560

	December 31, 2020
	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	$	9,318	$	0	$	0	—		$	9,318
RMBS	0		76,375		328		—		76,703
CMBS	0		11,624		111		—		11,735
Other securities	142		2,547		0		—		2,689
Total securities available for sale	9,460		90,546		439		—		100,445
Loans held for sale	0		596		0		—		596
Other assets:
Derivative assets(2)	268		3,006		141		$	(1,148)	2,267
Other(3)	430		552		55		—		1,037
Total assets	$	10,158	$	94,700	$	635	$	(1,148)	$	104,345
Liabilities:
Other liabilities:
Derivative liabilities(2)	$	271	$	1,137	$	110	$	(739)	$	779
Total liabilities	$	271	$	1,137	$	110	$	(739)	$	779

__________

(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 8—Derivative Instruments and Hedging Activities” for additional information.

(2)Does not reflect $23 million and $31 million recognized as a net valuation allowance on derivative assets and liabilities for non-performance risk as of June 30, 2021 and December 31, 2020, respectively. Non-performance risk is included in derivative assets and liabilities, which are 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.

(3)As of June 30, 2021 and December 31, 2020, other includes retained interests in securitizations of $46 million and $55 million, deferred compensation plan assets of $472 million and $414 million, and equity securities of $26 million and $568 million including unrealized gains of $24 million and $535 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 six months ended June 30, 2021 and 2020. 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.

Table 11.2: Level 3 Recurring Fair Value Rollforward

	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
	Three Months Ended June 30, 2021
			Total Gains (Losses) (Realized/Unrealized)																		Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of June 30, 2021(1)
(Dollars in millions)	Balance, April 1, 2021		Included in Net Income(1)		Included in OCI		Purchases		Sales		Issuances		Settlements		Transfers Into Level 3		Transfers Out of Level 3		Balance, June 30, 2021
Securities available for sale:(2)
RMBS	$	326	$	4	$	2	$	0	$	0	$	0	$	(25)	$	45	$	(63)	$	289	$	4
CMBS	10		0		0		0		0		0		0		0		(1)		9		0
Total securities available for sale	336		4		2		0		0		0		(25)		45		(64)		298		4
Other assets:
Retained interests in securitizations	50		(4)		0		0		0		0		0		0		0		46		(4)
Net derivative assets (liabilities)(4)	34		11		0		0		0		(16)		(15)		6		(1)		19		11

	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
	Six Months Ended June 30, 2021
			Total Gains (Losses) (Realized/Unrealized)																		Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of June 30, 2021(1)
(Dollars in millions)	Balance, January 1, 2021		Included in Net Income(1)		Included in OCI		Purchases		Sales		Issuances		Settlements		Transfers Into Level 3		Transfers Out of Level 3		Balance, June 30, 2021
Securities available for sale:(2)
RMBS	$	328	$	11	$	4	$	0	$	0	$	0	$	(51)	$	84	$	(87)	$	289	$	8
CMBS	111		0		(2)		0		0		0		(6)		0		(94)		9		0
Total securities available for sale	439		11		2		0		0		0		(57)		84		(181)		298		8
Other assets:
Retained interests in securitizations	55		(9)		0		0		0		0		0		0		0		46		(9)
Net derivative assets (liabilities)(4)	31		(10)		0		0		0		22		(29)		6		(1)		19		8

	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
	Three Months Ended June 30, 2020
			Total Gains (Losses) (Realized/Unrealized)																		Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of June 30, 2020(1)
(Dollars in millions)	Balance, April 1, 2020		Included in Net Income(1)		Included in OCI		Purchases		Sales		Issuances		Settlements		Transfers Into Level 3		Transfers Out of Level 3		Balance, June 30, 2020
Securities available for sale:(2)
RMBS	$	373	$	6	$	29	$	0	$	0	$	0	$	(16)	$	131	$	(49)	$	474	$	7
CMBS	36		0		(1)		0		0		0		(3)		250		0		282		(3)
Total securities available for sale	409		6		28		0		0		0		(19)		381		(49)		756		4
Other assets:
Retained interests in securitizations	59		(3)		0		0		0		0		0		0		0		56		(3)
Net derivative assets (liabilities)(4)	66		(8)		0		0		0		2		(26)		0		0		34		0

	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
	Six Months Ended June 30, 2020
			Total Gains (Losses) (Realized/Unrealized)																		Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of June 30, 2020(1)
(Dollars in millions)	Balance, January 1, 2020		Included in Net Income(1)		Included in OCI		Purchases		Sales		Issuances		Settlements		Transfers Into Level 3		Transfers Out of Level 3		Balance, June 30, 2020
Securities available for sale:(2)(3)
RMBS	$	433	$	9	$	(24)	$	0	$	0	$	0	$	(33)	$	140	$	(51)	$	474	$	10
CMBS	13		0		(1)		0		0		0		(3)		273		0		282		(3)
Total securities available for sale	446		9		(25)		0		0		0		(36)		413		(51)		756		7
Other assets:
Retained interests in securitizations	66		(10)		0		0		0		0		0		0		0		56		(10)
Net derivative assets (liabilities)(4)	26		12		0		0		0		26		(28)		0		(2)		34		18

__________

(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 the three and six months ended June 30, 2021, included in OCI related to Level 3 securities available for sale still held as of June 30, 2021 were net unrealized losses of $1 million and net unrealized gains of $2 million, respectively. For the three and six months ended June 30, 2020, included in OCI related to Level 3 securities available for sale still held as of June 30, 2020 were net unrealized gains of $36 million and net unrealized losses of $23 million, respectively.

(3)The fair value of RMBS as of January 1, 2020 includes a cumulative adjustment of $4 million from the adoption of the CECL standard.

(4)Includes derivative assets and liabilities of $129 million and $110 million, respectively, as of June 30, 2021 and $151 million and $117 million, respectively, as of June 30, 2020.

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 and 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.

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 11.3: Quantitative Information about Level 3 Fair Value Measurements

	Quantitative Information about Level 3 Fair Value Measurements
(Dollars in millions)	Fair Value at June 30, 2021		Significant Valuation Techniques	Significant Unobservable Inputs	Range	Weighted Average(1)
Securities available for sale:
RMBS	$	289	Discounted cash flows (vendor pricing)	Yield Voluntary prepayment rate Default rate Loss severity	1-19% 5-20% 1-11% 30-100%	3% 11% 2% 68%
CMBS	9		Discounted cash flows (vendor pricing)	Yield	0-2%	1%
Other assets:
Retained interests in securitizations(2)	46		Discounted cash flows	Life of receivables (months) Voluntary prepayment rate Discount rate Default rate Loss severity	33-40 9-15% 2-11% 2-4% 55-151%	N/A
Net derivative assets (liabilities)	19		Discounted cash flows	Swap rates	1-2%	1%

	Quantitative Information about Level 3 Fair Value Measurements
(Dollars in millions)	Fair Value at December 31, 2020		Significant Valuation Techniques	Significant Unobservable Inputs	Range	Weighted Average(1)
Securities available for sale:
RMBS	$	328	Discounted cash flows (vendor pricing)	Yield Voluntary prepayment rate Default rate Loss severity	2-12% 8-15% 0-11% 30-100%	3% 10% 2% 73%
CMBS	111		Discounted cash flows (vendor pricing)	Yield	1-3%	2%
Other assets:
Retained interests in securitizations(2)	55		Discounted cash flows	Life of receivables (months) Voluntary prepayment rate Discount rate Default rate Loss severity	37-52 3-13% 2-12% 3-3% 55-70%	N/A
Net derivative assets (liabilities)	31		Discounted cash flows	Swap rates	1%	1%

__________

(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.

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 June 30, 2021 and December 31, 2020, and for which a nonrecurring fair value measurement was recorded during the six and twelve months then ended.

Table 11.4: Nonrecurring Fair Value Measurements

	June 30, 2021
	Estimated Fair Value Hierarchy				Total
(Dollars in millions)	Level 2		Level 3
Loans held for investment	$	0	$	204	$	204
Other assets(1)	0		177		177
Total	$	0	$	381	$	381

	December 31, 2020
	Estimated Fair Value Hierarchy				Total
(Dollars in millions)	Level 2		Level 3
Loans held for investment	$	0	$	305	$	305
Other assets(1)	0		175		175
Total	$	0	$	480	$	480

__________

(1)As of June 30, 2021, other assets included equity method investments subject to impairment of $56 million, investments accounted for under measurement alternative of $13 million, repossessed assets of $31 million and long-lived assets held for sale of $77 million. As of December 31, 2020, other assets included equity investments accounted for under the measurement alternative of $25 million, repossessed assets of $42 million and long-lived assets held for sale of $108 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 0% to 100%, with a weighted average of 23%, and from 0% to 89%, with a weighted average of 14%, as of June 30, 2021 and December 31, 2020, 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 June 30, 2021 and December 31, 2020.

Table 11.5: Nonrecurring Fair Value Measurements Included in Earnings

	Total Gains (Losses)
	Six Months Ended June 30,
(Dollars in millions)	2021		2020
Loans held for investment	$	(97)	$	(253)
Other assets(1)	(61)		(22)
Total	$	(158)	$	(275)

__________

(1)Other assets include fair value adjustments related to repossessed assets, long-lived assets held for sale 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 June 30, 2021 and December 31, 2020.

Table 11.6: Fair Value of Financial Instruments

	June 30, 2021
	Carrying Value		Estimated Fair Value		Estimated Fair Value Hierarchy
(Dollars in millions)					Level 1		Level 2		Level 3
Financial assets:
Cash and cash equivalents	$	34,846	$	34,846	$	5,312	$	29,534	$	0
Restricted cash for securitization investors	242		242		242		0		0
Net loans held for investment	237,251		242,812		0		0		242,812
Loans held for sale	6,151		6,385		0		6,385		0
Interest receivable	1,372		1,372		0		1,372		0
Other investments(1)	1,344		1,344		0		1,344		0
Financial liabilities:
Deposits with defined maturities	22,225		22,469		0		22,469		0
Securitized debt obligations	10,561		10,717		0		10,717		0
Senior and subordinated notes	24,878		25,724		0		25,724		0
Federal funds purchased and securities loaned or sold under agreements to repurchase	845		845		0		845		0
Interest payable	301		301		0		301		0

	December 31, 2020
	Carrying Value		Estimated Fair Value		Estimated Fair Value Hierarchy
(Dollars in millions)					Level 1		Level 2		Level 3
Financial assets:
Cash and cash equivalents	$	40,509	$	40,509	$	4,708	$	35,801	$	0
Restricted cash for securitization investors	262		262		262		0		0
Net loans held for investment	236,060		244,701		0		0		244,701
Loans held for sale	2,114		2,214		0		2,214		0
Interest receivable	1,471		1,471		0		1,471		0
Other investments(1)	1,341		1,341		0		1,341		0
Financial liabilities:
Deposits with defined maturities	32,746		33,111		0		33,111		0
Securitized debt obligations	12,414		12,584		0		12,584		0
Senior and subordinated notes	27,382		28,282		0		28,282		0
Federal funds purchased and securities loaned or sold under agreements to repurchase	668		668		0		668		0
Interest payable	352		352		0		352		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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Business Segments and Revenue from Contracts with Customers

6 Months Ended

Jun. 30, 2021

Segment Reporting [Abstract]

Business Segments and Revenue from Contracts with Customers

NOTE 12—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 segment, such as management of our corporate investment portfolio, asset/liability management by our centralized Corporate Treasury group and residual tax expense or benefit to arrive at the consolidated effective tax rate that is not assessed to our primary business segments, are included in the Other category.

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 revenue and expenses directly or indirectly attributable to each business segment. Our funds transfer pricing process provides a funds credit for sources of funds, such as deposits generated by our Consumer Banking and Commercial Banking businesses, and a funds charge for the use of funds by each segment. 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 third-party 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 “Note 17—Business Segments and Revenue from Contracts with Customers” in our 2020 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 six months ended June 30, 2021 and 2020, selected balance sheet data as of June 30, 2021 and 2020, and a reconciliation of our total business segment results to our reported consolidated income from continuing operations, loans held for investment and deposits.

Table 12.1: Segment Results and Reconciliation

	Three Months Ended June 30, 2021
(Dollars in millions)	Credit Card		Consumer Banking		Commercial Banking(1)		Other(1)		Consolidated Total
Net interest income (loss)	$	3,217	$	2,101	$	460	$	(35)	$	5,743
Non-interest income (loss)	1,253		144		257		(23)		1,631
Total net revenue (loss)(2)	4,470		2,245		717		(58)		7,374
Provision (benefit) for credit losses	(635)		(306)		(219)		0		(1,160)
Non-interest expense	2,263		1,123		417		163		3,966
Income (loss) from continuing operations before income taxes	2,842		1,428		519		(221)		4,568
Income tax provision (benefit)	672		337		123		(101)		1,031
Income (loss) from continuing operations, net of tax	$	2,170	$	1,091	$	396	$	(120)	$	3,537
Loans held for investment	$	101,017	$	74,759	$	73,821	$	0	$	249,597
Deposits	0		251,155		42,973		12,180		306,308

	Six Months Ended June 30, 2021
(Dollars in millions)	Credit Card		Consumer Banking		Commercial Banking(1)		Other(1)		Consolidated Total
Net interest income (loss)	$	6,589	$	4,131	$	980	$	(135)	$	11,565
Non-interest income (loss)	2,282		285		497		(142)		2,922
Total net revenue (loss)(2)	8,871		4,416		1,477		(277)		14,487
Provision (benefit) for credit losses	(1,127)		(432)		(422)		(2)		(1,983)
Non-interest expense	4,398		2,240		836		232		7,706
Income (loss) from continuing operations before income taxes	5,600		2,608		1,063		(507)		8,764
Income tax provision (benefit)	1,325		615		251		(291)		1,900
Income (loss) from continuing operations, net of tax	$	4,275	$	1,993	$	812	$	(216)	$	6,864
Loans held for investment	$	101,017	$	74,759	$	73,821	$	0	$	249,597
Deposits	0		251,155		42,973		12,180		306,308

	Three Months Ended June 30, 2020
(Dollars in millions)	Credit Card		Consumer Banking		Commercial Banking(1)		Other(1)		Consolidated Total
Net interest income (loss)	$	3,369	$	1,665	$	518	$	(92)	$	5,460
Non-interest income (loss)	845		97		180		(26)		1,096
Total net revenue (loss)(2)	4,214		1,762		698		(118)		6,556
Provision (benefit) for credit losses	2,944		876		427		(1)		4,246
Non-interest expense	1,969		1,036		425		340		3,770
Loss from continuing operations before income taxes	(699)		(150)		(154)		(457)		(1,460)
Income tax benefit	(166)		(36)		(36)		(305)		(543)
Loss from continuing operations, net of tax	$	(533)	$	(114)	$	(118)	$	(152)	$	(917)
Loans held for investment	$	107,310	$	66,712	$	77,490	$	0	$	251,512
Deposits	0		246,804		35,669		21,765		304,238

	Six Months Ended June 30, 2020
(Dollars in millions)	Credit Card		Consumer Banking		Commercial Banking(1)		Other(1)		Consolidated Total
Net interest income	$	7,071	$	3,322	$	1,009	$	83	$	11,485
Non-interest income (loss)	1,756		223		418		(77)		2,320
Total net revenue(2)	8,827		3,545		1,427		6		13,805
Provision for credit losses	6,646		1,736		1,283		4		9,669
Non-interest expense	4,177		2,027		837		458		7,499
Loss from continuing operations before income taxes	(1,996)		(218)		(693)		(456)		(3,363)
Income tax benefit	(472)		(52)		(164)		(418)		(1,106)
Loss from continuing operations, net of tax	$	(1,524)	$	(166)	$	(529)	$	(38)	$	(2,257)
Loans held for investment	$	107,310	$	66,712	$	77,490	$	0	$	251,512
Deposits	0		246,804		35,669		21,765		304,238

__________

(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 $175 million and $355 million in the three and six months ended June 30, 2021, respectively, and $318 million and $707 million in the three and six months ended June 30, 2020, 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 overdrafts and 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 on certain marketing and promotional events from our auto dealers. 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 six months ended June 30, 2021 and 2020.

Table 12.2: Revenue from Contracts with Customers and Reconciliation to Segment Results

	Three Months Ended June 30, 2021
(Dollars in millions)	Credit Card		Consumer Banking		Commercial Banking(1)		Other(1)		Consolidated Total
Contract revenue:
Interchange fees, net(2)	$	925	$	67	$	24	$	0	$	1,016
Service charges and other customer-related fees	0		45		66		0		111
Other	94		19		1		0		114
Total contract revenue	1,019		131		91		0		1,241
Revenue (reduction) from other sources	234		13		166		(23)		390
Total non-interest income (loss)	$	1,253	$	144	$	257	$	(23)	$	1,631

	Six Months Ended June 30, 2021
(Dollars in millions)	Credit Card		Consumer Banking		Commercial Banking(1)		Other(1)		Consolidated Total
Contract revenue:
Interchange fees, net(2)	$	1,668	$	124	$	41	$	0	$	1,833
Service charges and other customer-related fees	0		89		116		0		205
Other	164		38		2		0		204
Total contract revenue	1,832		251		159		0		2,242
Revenue (reduction) from other sources	450		34		338		(142)		680
Total non-interest income (loss)	$	2,282	$	285	$	497	$	(142)	$	2,922

	Three Months Ended June 30, 2020
(Dollars in millions)	Credit Card		Consumer Banking		Commercial Banking(1)		Other(1)		Consolidated Total
Contract revenue:
Interchange fees, net(2)	$	612	$	48	$	13	$	(1)	$	672
Service charges and other customer-related fees	0		31		43		(1)		73
Other	57		3		0		0		60
Total contract revenue	669		82		56		(2)		805
Revenue (reduction) from other sources	176		15		124		(24)		291
Total non-interest income	$	845	$	97	$	180	$	(26)	$	1,096

	Six Months Ended June 30, 2020
(Dollars in millions)	Credit Card		Consumer Banking		Commercial Banking(1)		Other(1)		Consolidated Total
Contract revenue:
Interchange fees, net(2)	$	1,300	$	98	$	28	$	(2)	$	1,424
Service charges and other customer-related fees	0		95		74		(1)		168
Other	127		22		1		0		150
Total contract revenue	1,427		215		103		(3)		1,742
Revenue (reduction) from other sources	329		8		315		(74)		578
Total non-interest income	$	1,756	$	223	$	418	$	(77)	$	2,320

________

(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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Commitments, Contingencies, Guarantees, and Others

6 Months Ended

Jun. 30, 2021

Commitments and Contingencies Disclosure [Abstract]

Commitments, Contingencies, Guarantees and Others

NOTE 13—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, 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 June 30, 2021 and December 31, 2020. The carrying value represents our reserve and deferred revenue on legally binding commitments.

Table 13.1: Unfunded Lending Commitments

	Contractual Amount				Carrying Value
(Dollars in millions)	June 30, 2021		December 31, 2020		June 30, 2021		December 31, 2020
Credit card lines	$	354,098	$	349,594	N/A		N/A
Other loan commitments(1)	38,922		35,836		$	120	$	144
Standby letters of credit and commercial letters of credit(2)	1,290		1,302		27		32
Total unfunded lending commitments	$	394,310	$	386,732	$	147	$	176

__________

(1)Includes $2.6 billion and $1.8 billion of advised lines of credit as of June 30, 2021 and December 31, 2020, respectively.

(2)These financial guarantees have expiration dates that range from 2021 to 2023 as of June 30, 2021.

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 the loans. Beginning January 1, 2020, we elected the fair value option on new loss sharing agreements. 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 payment under the loss sharing agreement and record our estimate of expected credit losses each period in provision for credit losses in our consolidated statements of income. The liability recognized on our consolidated balance sheets for these loss sharing agreements was $93 million and $97 million as of June 30, 2021 and December 31, 2020, respectively.

See “Note 4—Allowance for Credit Losses and Reserve for Unfunded Lending Commitments” for more information related to our credit card partnership loss sharing arrangements.

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 June 30, 2021 are approximately $250 million. Our reserve and reasonably possible loss estimates involve considerable judgment and reflect that there is still 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 the range of reasonably possible losses disclosed here. Given the inherent uncertainties involved in these matters, especially those involving governmental agencies, and the very large or indeterminate damages sought in some of these matters, 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

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. Other merchants have asserted similar claims in separate lawsuits, and while these separate cases did not name any issuing banks, Visa, MasterCard and issuers, including Capital One, have entered 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 and have pursued their own claims. The claims by the injunctive relief class have not been resolved, but the settlement of $5.5 billion for the monetary damages class received final approval from the trial court, and has been appealed to the U.S. Court of Appeals for the Second Circuit. Visa and MasterCard have also settled a number of the opt-out cases, which required non-material payments from issuing banks, including Capital One. Visa created a litigation escrow account following its initial public offering of stock in 2008 that funds settlements for its member banks, and any settlements related to MasterCard-allocated losses have either already been paid or are reflected in our reserves.

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 “Cybersecurity Incident”). As a result of the Cybersecurity Incident, we are 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 were named as a defendant in approximately 74 putative consumer class action cases (61 in U.S. federal courts and 13 in Canadian courts) alleging harm from the 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. The U.S. consumer class actions have been consolidated for pretrial proceedings before a multi-district litigation (“MDL”) panel in the U.S. District Court for the Eastern District of Virginia, Alexandria Division, where the remaining 29 consumer class actions are currently pending. In the third quarter of 2020, the MDL court denied in part and granted in part Capital One’s motion to dismiss and permitted pretrial discovery to continue.

Securities class action. The Company and certain officers have also been named as defendants in a putative class action pending in the MDL alleging violations of certain federal securities laws in connection with statements and alleged omissions in securities filings relating to our information security standards and practices. The complaint seeks certification of a class of all persons who purchased or otherwise acquired Capital One securities from July 23, 2015 to July 29, 2019, as well as unspecified monetary damages, costs and other relief.

Governmental inquiries. We have received inquiries and requests for information relating to the Cybersecurity Incident from Congress, federal regulators, relevant Canadian regulators, the Department of Justice, and the offices of approximately fourteen state Attorneys General. We are cooperating with these offices and responding to their inquiries.

In August 2020, we entered into consent orders with the Federal Reserve and the Office of the Comptroller of the Currency (“OCC”) resulting from regulatory reviews of the 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.

Taxi Medallion Finance Investigations

Beginning in 2019, we have received subpoenas from the New York Attorney General’s office and from the U.S. Attorney’s Office for the Southern District of New York, Civil and Criminal Divisions, relating to investigations of the taxi medallion finance industry we exited beginning in 2015. The subpoenas seek, among other things, information regarding our lending counterparties and practices. We are cooperating with these investigations.

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), we received customer complaints and regulatory claims relating to PPI. As of the first quarter of 2021, 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.

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.

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Summary of Significant Accounting Policies (Policies)

6 Months Ended

Jun. 30, 2021

Accounting Policies [Abstract]

Basis of Presentation

The accompanying unaudited interim consolidated financial statements have been prepared in accordance with generally accepted accounting principles in the U.S. (“U.S. GAAP”).

Use of Estimates

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

Balance Sheet Offsetting of Financial Assets and Liabilities

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 arrangements 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 arrangements for balance sheet presentation where a right of setoff exists. For derivative contracts entered into under master netting arrangements for which we have not been able to confirm the enforceability of the setoff rights, or those not subject to master netting arrangements, we do not offset our derivative positions for balance sheet presentation.

New Accounting Standards

Newly Adopted Accounting Standards During the Six Months Ended June 30, 2021

Standard	Guidance	Adoption Timing and Financial Statement Impacts
Income Tax Accounting Simplification ASU No. 2019-12, Income Taxes (Topic 740): Simplifying the Accounting for Income Taxes Issued December 2019	Simplifies various aspects of the guidance on accounting for income taxes.	We adopted this guidance in the first quarter of 2021 using the modified retrospective and prospective methods of adoption. Our adoption of this standard did not have a material impact on our consolidated financial statements.

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Investment Securities (Tables)

6 Months Ended

Jun. 30, 2021

Investments, Debt and Equity Securities [Abstract]

Schedule of Available-for-Sale Securities

The table below presents the amortized cost, gross unrealized gains and losses, and fair value of securities available for sale as of June 30, 2021 and December 31, 2020. Accrued interest receivable of $221 million and $230 million as of June 30, 2021, and December 31, 2020, respectively, is not included in the table below.

Table 2.1: Investment Securities Available for Sale

	June 30, 2021
(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	$	9,211	$	0	$	20	$	0	$	9,231
RMBS:
Agency	76,318		0		1,433		(545)		77,206
Non-agency	908		(1)		209		0		1,116
Total RMBS	77,226		(1)		1,642		(545)		78,322
Agency CMBS	10,781		0		335		(29)		11,087
Other securities(1)	3,118		0		8		0		3,126
Total investment securities available for sale	$	100,336	$	(1)	$	2,005	$	(574)	$	101,766

	December 31, 2020
(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	$	9,302	$	0	$	16	$	0	$	9,318
RMBS:
Agency	73,248		0		2,326		(108)		75,466
Non-agency	1,035		(1)		204		(1)		1,237
Total RMBS	74,283		(1)		2,530		(109)		76,703
Agency CMBS	11,298		0		448		(11)		11,735
Other securities(1)	2,686		0		3		0		2,689
Total investment securities available for sale	$	97,569	$	(1)	$	2,997	$	(120)	$	100,445

__________    

(1)Includes $2.3 billion and $1.8 billion of asset-backed securities (“ABS”) as of June 30, 2021, and December 31, 2020, respectively. The remaining amount is primarily comprised of supranational bonds and foreign government bonds.

Schedule of Available-for-Sale Securities in 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 June 30, 2021 and December 31, 2020. The amounts include securities available for sale without an allowance for credit losses.

Table 2.2: Securities in a Gross Unrealized Loss Position

	June 30, 2021
	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:
RMBS:
Agency	$	34,165	$	(485)	$	1,685	$	(59)	$	35,850	$	(544)
Non-agency	6		0		0		0		6		0
Total RMBS	34,171		(485)		1,685		(59)		35,856		(544)
Agency CMBS	2,028		(27)		223		(2)		2,251		(29)
Other securities(1)	529		0		0		0		529		0
Total investment securities available for sale in a gross unrealized loss position without an allowance for credit losses(2)	$	36,728	$	(512)	$	1,908	$	(61)	$	38,636	$	(573)

	December 31, 2020
	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:
RMBS:
Agency	$	7,424	$	(57)	$	1,791	$	(51)	$	9,215	$	(108)
Non-agency	12		0		0		0		12		0
Total RMBS	7,436		(57)		1,791		(51)		9,227		(108)
Agency CMBS	1,545		(7)		267		(4)		1,812		(11)
Other securities(1)	114		0		1		0		115		0
Total investment securities available for sale in a gross unrealized loss position without an allowance for credit losses(2)	$	9,095	$	(64)	$	2,059	$	(55)	$	11,154	$	(119)

__________

(1)    Includes primarily other asset-backed securities, foreign government bonds, and supranational bonds.

(2)    Consists of approximately 570 and 320 securities in gross unrealized loss positions as of June 30, 2021 and December 31, 2020, respectively.

Schedule of Contractual Maturities for Securities

The table below summarizes, by major security type, the contractual maturities and weighted-average yields of our investment securities as of June 30, 2021. Because 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 and is calculated based on the amortized cost of each security.

Table 2.3: Contractual Maturities and Weighted-Average Yields of Securities

	June 30, 2021
(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	$	1,401		$	7,830		$	0		$	0		$	9,231
RMBS(1):
Agency	0			97			1,139			75,970			77,206
Non-agency	0			0			0			1,116			1,116
Total RMBS	0			97			1,139			77,086			78,322
Agency CMBS(1)	399			2,666			5,133			2,889			11,087
Other securities	298			2,560			268			0			3,126
Total securities available for sale	$	2,098		$	13,153		$	6,540		$	79,975		$	101,766
Amortized cost of securities available for sale	$	2,096		$	13,087		$	6,376		$	78,777		$	100,336
Weighted-average yield for securities available for sale	0.66		%	0.53		%	1.51		%	1.77		%	1.57		%

__________

(1)As of June 30, 2021, the weighted-average expected maturities of RMBS and Agency CMBS are 5.4 years and 5.6 years, respectively.

XML

Loans (Tables)

6 Months Ended

Jun. 30, 2021

Receivables [Abstract]

Loan Portfolio Composition and Aging Analysis

The table below presents the composition and aging analysis of our loans held for investment portfolio as of June 30, 2021 and December 31, 2020. The delinquency aging includes all past due loans, both performing and nonperforming.

Table 3.1: Loan Portfolio Composition and Aging Analysis

	June 30, 2021
				Delinquent Loans
(Dollars in millions)	Current			30-59 Days			60-89 Days			> 90 Days			Total Delinquent Loans			Total Loans
Credit Card:
Domestic credit card	$	93,711		$	525		$	317		$	756		$	1,598		$	95,309
International card businesses	5,536			67			37			68			172			5,708
Total credit card	99,247			592			354			824			1,770			101,017
Consumer Banking:
Auto	69,222			1,717			645			129			2,491			71,713
Retail banking	2,999			21			8			18			47			3,046
Total consumer banking	72,221			1,738			653			147			2,538			74,759
Commercial Banking:
Commercial and multifamily real estate	29,476			4			23			113			140			29,616
Commercial and industrial	43,924			201			25			55			281			44,205
Total commercial banking	73,400			205			48			168			421			73,821
Total loans(1)	$	244,868		$	2,535		$	1,055		$	1,139		$	4,729		$	249,597
% of Total loans	98.11		%	1.01		%	0.42		%	0.46		%	1.89		%	100.00		%

	December 31, 2020
				Delinquent Loans
(Dollars in millions)	Current			30-59 Days			60-89 Days			> 90 Days			Total Delinquent Loans			Total Loans
Credit Card:
Domestic credit card	$	96,116		$	755		$	464		$	1,169		$	2,388		$	98,504
International card businesses	8,218			90			58			86			234			8,452
Total credit card	104,334			845			522			1,255			2,622			106,956
Consumer Banking:
Auto	62,381			2,252			907			222			3,381			65,762
Retail banking	3,064			28			19			15			62			3,126
Total consumer banking	65,445			2,280			926			237			3,443			68,888
Commercial Banking:
Commercial and multifamily real estate	30,340			136			22			183			341			30,681
Commercial and industrial	44,941			69			15			74			158			45,099
Total commercial banking	75,281			205			37			257			499			75,780
Total loans(1)	$	245,060		$	3,330		$	1,485		$	1,749		$	6,564		$	251,624
% of Total loans	97.39		%	1.32		%	0.59		%	0.70		%	2.61		%	100.00		%

__________(1)Loans include unamortized premiums and discounts, and unamortized deferred fees and costs totaling $1.3 billion and $1.1 billion as of June 30, 2021 and December 31, 2020

90 Plus Day Delinquent Loans Accruing Interest and Nonperforming Loans

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 June 30, 2021 and December 31, 2020. Nonperforming loans generally include loans that have been placed on nonaccrual status.

Table 3.2: 90+ Day Delinquent Loans Accruing Interest and Nonperforming Loans

	June 30, 2021									December 31, 2020
(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	$	756		N/A			$	0		$	1,169		N/A			$	0
International card businesses	65			$	12		0			82			$	21		0
Total credit card	821			12			0			1,251			21			0
Consumer Banking:
Auto	0			209			0			0			294			0
Retail banking	0			53			20			0			30			0
Total consumer banking	0			262			20			0			324			0
Commercial Banking:
Commercial and multifamily real estate	2			301			249			51			200			184
Commercial and industrial	0			458			280			0			450			265
Total commercial banking	2			759			529			51			650			449
Total	$	823		$	1,033		$	549		$	1,302		$	995		$	449
% of Total loans held for investment	0.3		%	0.4		%	0.2		%	0.5		%	0.4		%	0.2		%

__________

(1)We recognized interest income for loans classified as nonperforming of $3 million and $8 million for the three and six months ended June 30, 2021, respectively, and $5 million and $11 million for the three and six months ended June 30, 2020, respectively.

Financing Receivable, Allowance for Credit Loss [Line Items]

TDR Disclosures

The following tables present the major modification types, amortized cost amounts and financial effects of loans modified in TDRs during the three and six months ended June 30, 2021 and 2020.

Table 3.6: Troubled Debt Restructurings

			Three Months Ended June 30, 2021
			Reduced Interest Rate				Term Extension
(Dollars in millions)	Total Loans Modified(1)		% of TDR Activity(2)		Average Rate Reduction		% of TDR Activity(2)		Average Term Extension (Months)
Credit Card:
Domestic credit card	$	33	100	%	16.07	%	0	%	0
International card businesses	27		100		27.45		0		0
Total credit card	60		100		21.22		0		0
Consumer Banking:
Auto	65		39		8.62		91		4
Retail banking	1		0		0.00		100		41
Total consumer banking	66		38		8.62		91		4
Commercial Banking:
Commercial and multifamily real estate	0		0		0.00		0		0
Commercial and industrial	34		0		0.00		56		17
Total commercial banking	34		0		0.00		56		17
Total	$	160	53		9.38		49		3

			Six Months Ended June 30, 2021
			Reduced Interest Rate				Term Extension
(Dollars in millions)	Total Loans Modified(1)		% of TDR Activity(2)		Average Rate Reduction		% of TDR Activity(2)		Average Term Extension (Months)
Credit Card:
Domestic credit card	$	77	100	%	16.10	%	0	%	0
International card businesses	66		100		27.62		0		0
Total credit card	143		100		21.43		0		0
Consumer Banking:
Auto	180		36		8.87		94		3
Retail banking	1		31		3.77		69		28
Total consumer banking	181		36		8.85		94		3
Commercial Banking:
Commercial and multifamily real estate	20		0		0.00		100		14
Commercial and industrial	78		0		0.00		38		8
Total commercial banking	98		0		0.00		51		11
Total	$	422	49		8.64		52		3

	Total Loans Modified(1)		Three Months Ended June 30, 2020
			Reduced Interest Rate				Term Extension			Balance Reduction
(Dollars in millions)			% of TDR Activity(2)		Average Rate Reduction		% of TDR Activity(2)		Average Term Extension (Months)	% of TDR Activity(2)		Gross Balance Reduction
Credit Card:
Domestic credit card	$	56	100	%	15.41	%	0	%	0	0	%	$	0
International card businesses	28		100		26.56		0		0	0		0
Total credit card	84		100		19.14		0		0	0		0
Consumer Banking:
Auto	137		5		4.12		95		3	0		0
Retail banking	1		10		8.37		59		4	0		0
Total consumer banking	138		5		4.19		95		3	0		0
Commercial Banking:
Commercial and multifamily real estate	9		0		0.00		100		7	0		0
Commercial and industrial	181		0		0.00		52		8	9		7
Total commercial banking	190		0		0.00		55		8	8		7
Total	$	412	22		17.96		57		5	4		$	7

	Total Loans Modified(1)		Six Months Ended June 30, 2020
			Reduced Interest Rate				Term Extension			Balance Reduction
(Dollars in millions)			% of TDR Activity(2)		Average Rate Reduction		% of TDR Activity(2)		Average Term Extension (Months)	% of TDR Activity(2)		Gross Balance Reduction
Credit Card:
Domestic credit card	$	145	100	%	16.05	%	0	%	0	0	%	$	0
International card businesses	79		100		27.05		0		0	0		0
Total credit card	224		100		19.94		0		0	0		0
Consumer Banking:
Auto	260		12		3.51		95		4	0		0
Retail banking	4		4		11.42		15		4	0		0
Total consumer banking	264		12		3.55		93		4	0		0
Commercial Banking:
Commercial and multifamily real estate	28		0		0.00		100		10	0		0
Commercial and industrial	188		0		0.00		50		8	8		7
Total commercial banking	216		0		0.00		57		9	7		7
Total	$	704	36		17.90		52		5	2		$	7

__________

(1)Represents the amortized cost of total loans modified in TDRs at the end of the period in which they were modified. As not every modification type is included in the table above, the total percentage of TDR activity may not add up to 100%. Some loans may receive more than one type of concession as part of the modification.

(2)Due to multiple concessions granted to some troubled borrowers, percentages may total more than 100% for certain loan types.

The following table presents the type, number and amortized cost of loans modified in TDRs that experienced a default during the period and had completed a modification event in the twelve months prior to the default. A default occurs if the loan is either 90 days or more delinquent, has been charged off as of the end of the period presented or has been reclassified from accrual to nonaccrual status.

Table 3.7: TDRs—Subsequent Defaults

	Three Months Ended June 30,						Six Months Ended June 30,
	2021			2020			2021			2020
(Dollars in millions)	Number of Contracts	Amount		Number of Contracts	Amount		Number of Contracts	Amount		Number of Contracts	Amount
Credit Card:
Domestic credit card	4,226	$	8	9,582	$	21	9,360	$	18	20,468	$	43
International card businesses	14,827	23		17,508	25		32,029	51		35,365	51
Total credit card	19,053	31		27,090	46		41,389	69		55,833	94
Consumer Banking:
Auto	2,271	35		860	11		4,302	64		2,135	27
Retail banking	3	0		3	0		8	0		4	0
Total consumer banking	2,274	35		863	11		4,310	64		2,139	27
Commercial Banking:
Commercial and multifamily real estate	1	50		0	0		1	50		0	0
Commercial and industrial	6	82		1	21		6	82		7	49
Total commercial banking	7	132		1	21		7	132		7	49
Total	21,334	$	198	27,954	$	78	45,706	$	265	57,979	$	170

Credit Card

Financing Receivable, Allowance for Credit Loss [Line Items]

Credit Quality Indicator

The table below presents our credit card portfolio by delinquency status as of June 30, 2021 and December 31, 2020.

Table 3.3: Credit Card Delinquency Status

	June 30, 2021						December 31, 2020
(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	$	93,304	$	407	$	93,711	$	95,629	$	487	$	96,116
30-59 days	512		13		525		734		21		755
60-89 days	308		9		317		451		13		464
Greater than 90 days	747		9		756		1,155		14		1,169
Total domestic credit card	94,871		438		95,309		97,969		535		98,504
International card businesses:
Current	5,484		52		5,536		8,152		66		8,218
30-59 days	61		6		67		79		11		90
60-89 days	33		4		37		47		11		58
Greater than 90 days	64		4		68		76		10		86
Total international card businesses	5,642		66		5,708		8,354		98		8,452
Total credit card	$	100,513	$	504	$	101,017	$	106,323	$	633	$	106,956

Consumer Banking

Financing Receivable, Allowance for Credit Loss [Line Items]

Credit Quality Indicator

The table below presents our consumer banking portfolio of loans held for investment by credit quality indicator as of June 30, 2021 and December 31, 2020. We present our auto loan portfolio by FICO scores at origination and our retail banking loan portfolio by delinquency status, which includes all past due loans, both performing and nonperforming.

Table 3.4: Consumer Banking Portfolio by Credit Quality Indicator

	June 30, 2021
	Term Loans by Vintage Year
(Dollars in millions)	2021		2020		2019		2018		2017		Prior		Total Term Loans		Revolving Loans		Revolving Loans Converted to Term		Total
Auto—At origination FICO scores:(1)
Greater than 660	$	11,276	$	10,874	$	6,258	$	3,396	$	1,855	$	683	$	34,342	$	0	$	0	$	34,342
621-660	4,130		4,752		2,817		1,496		815		326		14,336		0		0		14,336
620 or below	5,536		7,988		4,960		2,509		1,404		638		23,035		0		0		23,035
Total auto	20,942		23,614		14,035		7,401		4,074		1,647		71,713		0		0		71,713
Retail banking—Delinquency status:
Current	511		745		210		198		195		597		2,456		535		8		2,999
30-59 days	0		0		0		0		0		3		3		18		0		21
60-89 days	0		0		0		0		1		4		5		3		0		8
Greater than 90 days	0		0		0		1		2		4		7		10		1		18
Total retail banking(2)	511		745		210		199		198		608		2,471		566		9		3,046
Total consumer banking	$	21,453	$	24,359	$	14,245	$	7,600	$	4,272	$	2,255	$	74,184	$	566	$	9	$	74,759

	December 31, 2020
	Term Loans by Vintage Year
(Dollars in millions)	2020		2019		2018		2017		2016		Prior		Total Term Loans		Revolving Loans		Revolving Loans Converted to Term		Total
Auto—At origination FICO scores:(1)
Greater than 660	$	13,352	$	8,091	$	4,675	$	2,810	$	1,168	$	203	$	30,299	$	0	$	0	$	30,299
621-660	5,781		3,631		2,003		1,172		488		109		13,184		0		0		13,184
620 or below	9,550		6,298		3,317		1,985		886		243		22,279		0		0		22,279
Total auto	28,683		18,020		9,995		5,967		2,542		555		65,762		0		0		65,762
Retail banking—Delinquency status:
Current	1,041		233		206		222		167		537		2,406		651		7		3,064
30-59 days	0		0		7		1		2		2		12		15		1		28
60-89 days	0		0		1		0		5		4		10		8		1		19
Greater than 90 days	0		0		0		1		1		4		6		9		0		15
Total retail banking(2)	1,041		233		214		224		175		547		2,434		683		9		3,126
Total consumer banking	$	29,724	$	18,253	$	10,209	$	6,191	$	2,717	$	1,102	$	68,196	$	683	$	9	$	68,888

__________

(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.

(2)Includes PPP loans of $1.1 billion and $919 million as of June 30, 2021 and December 31, 2020, respectively.

Commercial Banking

Financing Receivable, Allowance for Credit Loss [Line Items]

Credit Quality Indicator

The following table presents our commercial banking portfolio of loans held for investment by internal risk ratings as of June 30, 2021 and December 31, 2020. The internal risk rating status includes all past due loans, both performing and nonperforming.

Table 3.5: Commercial Banking Portfolio by Internal Risk Ratings

	June 30, 2021
	Term Loans by Vintage Year
(Dollars in millions)	2021		2020		2019		2018		2017		Prior		Total Term Loans		Revolving Loans		Revolving Loans Converted to Term		Total
Internal risk rating:(1)
Commercial and multifamily real estate
Noncriticized	$	1,636	$	3,437	$	4,331	$	2,956	$	1,025	$	4,838	$	18,223	$	7,983	$	0	$	26,206
Criticized performing	156		291		426		381		310		1,459		3,023		61		25		3,109
Criticized nonperforming	0		0		8		29		10		254		301		0		0		301
Total commercial and multifamily real estate	1,792		3,728		4,765		3,366		1,345		6,551		21,547		8,044		25		29,616
Commercial and industrial
Noncriticized	4,905		8,160		6,730		3,563		2,305		4,001		29,664		11,596		15		41,275
Criticized performing	87		169		844		275		163		200		1,738		734		0		2,472
Criticized nonperforming	47		62		57		74		29		21		290		168		0		458
Total commercial and industrial	5,039		8,391		7,631		3,912		2,497		4,222		31,692		12,498		15		44,205
Total commercial banking(2)	$	6,831	$	12,119	$	12,396	$	7,278	$	3,842	$	10,773	$	53,239	$	20,542	$	40	$	73,821

	December 31, 2020
	Term Loans by Vintage Year
(Dollars in millions)	2020		2019		2018		2017		2016		Prior		Total Term Loans		Revolving Loans		Revolving Loans Converted to Term		Total
Internal risk rating:(1)
Commercial and multifamily real estate
Noncriticized	$	3,791	$	4,932	$	3,232	$	1,437	$	1,649	$	4,904	$	19,945	$	7,114	$	0	$	27,059
Criticized performing	320		446		515		355		391		1,258		3,285		112		25		3,422
Criticized nonperforming	0		11		30		6		3		150		200		0		0		200
Total commercial and multifamily real estate	4,111		5,389		3,777		1,798		2,043		6,312		23,430		7,226		25		30,681
Commercial and industrial
Noncriticized	9,761		7,890		4,043		2,717		1,832		3,034		29,277		11,548		80		40,905
Criticized performing	316		794		521		252		106		215		2,204		1,498		42		3,744
Criticized nonperforming	74		108		25		51		9		0		267		183		0		450
Total commercial and industrial	10,151		8,792		4,589		3,020		1,947		3,249		31,748		13,229		122		45,099
Total commercial banking(2)	$	14,262	$	14,181	$	8,366	$	4,818	$	3,990	$	9,561	$	55,178	$	20,455	$	147	$	75,780

__________

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

(2)Includes PPP loans of $296 million and $238 million as of June 30, 2021 and December 31, 2020, respectively.

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Allowance for Credit Losses and Reserve for Unfunded Lending Commitments (Tables)

6 Months Ended

Jun. 30, 2021

Accounts, Notes, Loans and Financing Receivable, Gross, Allowance, and Net [Abstract]

Allowance for Credit Losses on Financing Receivables

The table below summarizes changes in the allowance for credit losses and reserve for unfunded lending commitments by portfolio segment for the three and six months ended June 30, 2021 and 2020. Our allowance for credit losses decreased by $3.2 billion to $12.3 billion as of June 30, 2021 from December 31, 2020, primarily driven by strong credit performance and an improved economic outlook.

Table 4.1: Allowance for Credit Losses and Reserve for Unfunded Lending Commitments Activity

	Three Months Ended June 30, 2021
(Dollars in millions)	Credit Card		Consumer Banking		Commercial Banking		Total
Allowance for credit losses:
Balance as of March 31, 2021	$	10,072	$	2,498	$	1,447	$	14,017
Charge-offs	(967)		(260)		(8)		(1,235)
Recoveries(1)	396		271		27		694
Net recoveries (charge-offs)	(571)		11		19		(541)
Provision (benefit) for credit losses	(635)		(306)		(196)		(1,137)
Allowance build (release) for credit losses	(1,206)		(295)		(177)		(1,678)
Other changes(2)	7		0		0		7
Balance as of June 30, 2021	8,873		2,203		1,270		12,346
Reserve for unfunded lending commitments:
Balance as of March 31, 2021	0		0		187		187
Provision (benefit) for losses on unfunded lending commitments	0		0		(23)		(23)
Balance as of June 30, 2021	0		0		164		164
Combined allowance and reserve as of June 30, 2021	$	8,873	$	2,203	$	1,434	$	12,510

	Six Months Ended June 30, 2021
(Dollars in millions)	Credit Card		Consumer Banking		Commercial Banking		Total
Allowance for credit losses:
Balance as of December 31, 2020	$	11,191	$	2,715	$	1,658	$	15,564
Charge-offs	(1,960)		(602)		(27)		(2,589)
Recoveries(1)	756		522		30		1,308
Net recoveries (charge-offs)	(1,204)		(80)		3		(1,281)
Provision (benefit) for credit losses	(1,127)		(432)		(391)		(1,950)
Allowance build (release) for credit losses	(2,331)		(512)		(388)		(3,231)
Other changes(2)	13		0		0		13
Balance as of June 30, 2021	8,873		2,203		1,270		12,346
Reserve for unfunded lending commitments:
Balance as of December 31, 2020	0		0		195		195
Provision (benefit) for losses on unfunded lending commitments	0		0		(31)		(31)
Balance as of June 30, 2021	0		0		164		164
Combined allowance and reserve as of June 30, 2021	$	8,873	$	2,203	$	1,434	$	12,510

	Three Months Ended June 30, 2020
(Dollars in millions)	Credit Card		Consumer Banking		Commercial Banking		Total
Allowance for credit losses:
Balance as of March 31, 2020	$	10,346	$	2,154	$	1,573	$	14,073
Charge-offs	(1,612)		(416)		(103)		(2,131)
Recoveries(1)	401		224		1		626
Net charge-offs	(1,211)		(192)		(102)		(1,505)
Provision (benefit) for credit losses	2,944		876		432		4,252
Allowance build (release) for credit losses	1,733		684		330		2,747
Other changes(2)	12		0		0		12
Balance as of June 30, 2020	12,091		2,838		1,903		16,832
Reserve for unfunded lending commitments:
Balance as of March 31, 2020	0		0		223		223
Provision (benefit) for losses on unfunded lending commitments	0		0		(5)		(5)
Balance as of June 30, 2020	0		0		218		218
Combined allowance and reserve as of June 30, 2020	$	12,091	$	2,838	$	2,121	$	17,050

	Six Months Ended June 30, 2020
(Dollars in millions)	Credit Card		Consumer Banking		Commercial Banking		Total
Allowance for credit losses:
Balance as of December 31, 2019	$	5,395	$	1,038	$	775	$	7,208
Cumulative effects from adoption of the CECL standard	2,241		502		102		2,845
Finance charge and fee reserve reclassification(3)	462		0		0		462
Balance as of January 1, 2020	8,098		1,540		877		10,515
Charge-offs	(3,461)		(912)		(215)		(4,588)
Recoveries(1)	814		474		4		1,292
Net charge-offs	(2,647)		(438)		(211)		(3,296)
Provision (benefit) for credit losses	6,646		1,736		1,237		9,619
Allowance build (release) for credit losses	3,999		1,298		1,026		6,323
Other changes(2)	(6)		0		0		(6)
Balance as of June 30, 2020	12,091		2,838		1,903		16,832
Reserve for unfunded lending commitments:
Balance as of December 31, 2019	0		5		130		135
Cumulative effects from adoption of the CECL standard	0		(5)		42		37
Balance as of January 1, 2020	0		0		172		172
Provision (benefit) for losses on unfunded lending commitments	0		0		46		46
Balance as of June 30, 2020	0		0		218		218
Combined allowance and reserve as of June 30, 2020	$	12,091	$	2,838	$	2,121	$	17,050

__________

(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)Represents foreign currency translation adjustments.

(3)Concurrent with our adoption of the CECL standard in the first quarter of 2020, we reclassified our finance charge and fee reserve to our allowance for credit losses, with a corresponding increase to credit card loans held for investment.

Schedule of Loss Sharing Arrangement Impact

The table below summarizes the changes in the estimated reimbursements from these partners for the three and six months ended June 30, 2021 and 2020.

Table 4.2: Summary of Credit Card Partnership Loss Sharing Arrangements Impacts

	Three Months Ended June 30,
(Dollars in millions)	2021		2020
Estimated reimbursements from partners, beginning of period	$	2,005	$	2,653
Amounts due from partners which reduced net charge-offs	(128)		(293)
Amounts estimated to be charged (from) to partners which reduced provision for credit losses	(166)		73
Estimated reimbursements from partners, end of period	$	1,711	$	2,433

	Six Months Ended June 30,
(Dollars in millions)	2021		2020
Estimated reimbursements from partners, beginning of period	$	2,159	$	2,166
Amounts due from partners which reduced net charge-offs	(269)		(595)
Amounts estimated to be charged (from) to partners which reduced provision for credit losses	(179)		862
Estimated reimbursements from partners, end of period	$	1,711	$	2,433

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Variable Interest Entities and Securitizations (Tables)

6 Months Ended

Jun. 30, 2021

Variable Interest Entities and Securitization [Abstract]

Carrying Amount of Assets and Liabilities of Variable Interest Entities

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 June 30, 2021 and December 31, 2020. We separately present information for consolidated and unconsolidated VIEs.

Table 5.1: Carrying Amount of Consolidated and Unconsolidated VIEs

	June 30, 2021
	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)	$	20,671	$	9,115	$	0	$	0	$	0
Auto loan securitizations	1,768		1,509		0		0		0
Total securitization-related VIEs	22,439		10,624		0		0		0
Other VIEs:(3)
Affordable housing entities	272		31		4,763		1,427		4,763
Entities that provide capital to low-income and rural communities	2,035		26		0		0		0
Other	0		0		411		0		411
Total other VIEs	2,307		57		5,174		1,427		5,174
Total VIEs	$	24,746	$	10,681	$	5,174	$	1,427	$	5,174

	December 31, 2020
	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)	$	22,066	$	10,338	$	0	$	0	$	0
Auto loan securitizations	2,360		2,055		0		0		0
Total securitization-related VIEs	24,426		12,393		0		0		0
Other VIEs:(3)
Affordable housing entities	242		17		4,602		1,240		4,602
Entities that provide capital to low-income and rural communities	1,951		26		0		0		0
Other	0		0		436		0		436
Total other VIEs	2,193		43		5,038		1,240		5,038
Total VIEs	$	26,619	$	12,436	$	5,038	$	1,240	$	5,038

__________

(1)Excludes insignificant VIEs from previously exited businesses.

(2)Represents the carrying amount of assets and liabilities owned by 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 in turn 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 $2.2 billion of assets and $606 million of liabilities as of June 30, 2021, and $2.3 billion of assets and $596 million of liabilities as of December 31, 2020.

External Debt and Receivable Balances of Securitization Programs

The table below presents our continuing involvement in certain securitization-related VIEs as of June 30, 2021 and December 31, 2020.

Table 5.2: Continuing Involvement in Securitization-Related VIEs

(Dollars in millions)	Credit Card		Auto
June 30, 2021:
Securities held by third-party investors	$	9,054	$	1,507
Receivables in the trust	21,803		1,664
Cash balance of spread or reserve accounts	0		10
Retained interests	Yes		Yes
Servicing retained	Yes		Yes
December 31, 2020:
Securities held by third-party investors	$	10,361	$	2,053
Receivables in the trust	23,683		2,243
Cash balance of spread or reserve accounts	0		10
Retained interests	Yes		Yes
Servicing retained	Yes		Yes

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Goodwill and Intangible Assets (Tables)

6 Months Ended

Jun. 30, 2021

Goodwill and Intangible Assets Disclosure [Abstract]

Components of Goodwill, Intangible Assets and MSRs

The table below presents our goodwill, intangible assets and MSRs as of June 30, 2021 and December 31, 2020. Goodwill is presented separately, while intangible assets and MSRs are included in other assets on our consolidated balance sheets.

Table 6.1: Components of Goodwill, Intangible Assets and MSRs

	June 30, 2021
(Dollars in millions)	Carrying Amount of Assets		Accumulated Amortization		Net Carrying Amount
Goodwill	$	14,654	N/A		$	14,654
Intangible assets:
Purchased credit card relationship (“PCCR”) intangibles	148		$	(139)	9
Other(1)	183		(112)		71
Total intangible assets	331		(251)		80
Total goodwill and intangible assets	$	14,985	$	(251)	$	14,734
Commercial MSRs(2)	$	582	$	(189)	$	393
	December 31, 2020
(Dollars in millions)	Carrying Amount of Assets		Accumulated Amortization		Net Carrying Amount
Goodwill	$	14,653	N/A		$	14,653
Intangible assets:
PCCR intangibles	148		$	(138)	10
Other(1)	248		(168)		80
Total intangible assets	396		(306)		90
Total goodwill and intangible assets	$	15,049	$	(306)	$	14,743
Commercial MSRs(2)	$	542	$	(175)	$	367

__________

(1)Primarily consists of intangibles for sponsorship, customer and merchant relationships, partnership, trade name and other contract intangibles.

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

Goodwill by Business Segments

The following table presents changes in carrying amount of goodwill by each of our business segments as of June 30, 2021 and December 31, 2020.

Table 6.2: Goodwill by Business Segments

(Dollars in millions)	Credit Card		Consumer Banking		Commercial Banking		Total
Balance as of December 31, 2020	$	5,088	$	4,645	$	4,920	$	14,653
Other adjustments(1)	1		0		0		1
Balance as of June 30, 2021	$	5,089	$	4,645	$	4,920	$	14,654

__________

(1)Represents foreign currency translation adjustments.

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Deposits and Borrowings (Tables)

6 Months Ended

Jun. 30, 2021

Debt Disclosure [Abstract]

Components of Deposits, Short-Term Borrowings and Long-Term Debt

The following tables summarize the components of our deposits, short-term borrowings and long-term debt as of June 30, 2021 and December 31, 2020. The carrying value presented below for these borrowings includes unamortized debt premiums and discounts, net of debt issuance costs and fair value hedge accounting adjustments.

Table 7.1: Components of Deposits, Short-Term Borrowings and Long-Term Debt

(Dollars in millions)	June 30, 2021		December 31, 2020
Deposits:
Non-interest-bearing deposits	$	34,994	$	31,142
Interest-bearing deposits(1)	271,314		274,300
Total deposits	$	306,308	$	305,442
Short-term borrowings:
Federal funds purchased and securities loaned or sold under agreements to repurchase	$	845	$	668
Total short-term borrowings	$	845	$	668

	June 30, 2021						December 31, 2020
(Dollars in millions)	Maturity Dates	Stated Interest Rates	Weighted-Average Interest Rate		Carrying Value		Carrying Value
Long-term debt:
Securitized debt obligations	2021-2026	0.42% - 2.84%	1.85	%	$	10,561	$	12,414
Senior and subordinated notes:
Fixed unsecured senior debt(2)	2021-2029	0.80 - 4.75	3.20		18,883		21,045
Floating unsecured senior debt	2022-2023	0.91 - 1.34	1.09		1,359		1,609
Total unsecured senior debt			3.06		20,242		22,654
Fixed unsecured subordinated debt	2023-2026	3.38 - 4.20	3.78		4,636		4,728
Total senior and subordinated notes					24,878		27,382
Other long-term borrowings:
Finance lease liabilities	2021-2031	0.25 - 9.91	4.07		59		75
Total other long-term borrowings					59		75
Total long-term debt					$	35,498	$	39,871
Total short-term borrowings and long-term debt					$	36,343	$	40,539

__________

(1)Includes $2.1 billion and $4.2 billion of time deposits in denominations in excess of the $250,000 federal insurance limit as of June 30, 2021 and December 31, 2020, respectively.

(2)Includes $1.5 billion and $1.6 billion of EUR-denominated unsecured notes as of June 30, 2021 and December 31, 2020, respectively.

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Derivative Instruments and Hedging Activities (Tables)

6 Months Ended

Jun. 30, 2021

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of Derivative Assets and Liabilities at Fair Value

The following table summarizes the notional amounts and fair values of our derivative instruments as of June 30, 2021 and December 31, 2020, 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 8.1: Derivative Assets and Liabilities at Fair Value

	June 30, 2021						December 31, 2020
	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	$	44,361	$	5	$	7	$	47,349	$	9	$	10
Cash flow hedges	86,900		481		12		82,150		748		1
Total interest rate contracts	131,261		486		19		129,499		757		11
Foreign exchange contracts:
Fair value hedges	1,482		83		0		1,527		164		0
Cash flow hedges	4,233		35		33		4,582		0		161
Net investment hedges	3,397		0		144		3,116		0		196
Total foreign exchange contracts	9,112		118		177		9,225		164		357
Total derivatives designated as accounting hedges	140,373		604		196		138,724		921		368
Derivatives not designated as accounting hedges:
Customer accommodation:
Interest rate contracts	68,537		935		173		68,459		1,429		198
Commodity contracts	16,776		2,093		1,963		16,871		935		820
Foreign exchange and other contracts	4,450		39		31		4,677		58		70
Total customer accommodation	89,763		3,067		2,167		90,007		2,422		1,088
Other interest rate exposures(2)	1,209		45		46		1,770		71		56
Other contracts	1,988		0		1		1,826		1		6
Total derivatives not designated as accounting hedges	92,960		3,112		2,214		93,603		2,494		1,150
Total derivatives	$	233,333	$	3,716	$	2,410	$	232,327	$	3,415	$	1,518
Less: netting adjustment(3)			(964)		(850)				(1,148)		(739)
Total derivative assets/liabilities			$	2,752	$	1,560			$	2,267	$	779

__________

(1)Does not reflect $23 million and $31 million recognized as a net valuation allowance on derivative assets and liabilities for non-performance risk as of June 30, 2021 and December 31, 2020, respectively. Non-performance risk is included in derivative assets and liabilities, which are 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.

(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.

Hedged Item in Fair Value Hedging Relationship

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 June 30, 2021 and December 31, 2020.

Table 8.2: Hedged Items in Fair Value Hedging Relationships

	June 30, 2021						December 31, 2020
	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)	$	9,936	$	467	$	188	$	9,797	$	590	$	200
Interest-bearing deposits	(9,882)		(124)		0		(11,312)		(213)		0
Securitized debt obligations	(6,926)		(84)		9		(7,609)		(171)		20
Senior and subordinated notes	(20,267)		(879)		(597)		(21,927)		(1,282)		(666)

__________

(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 $249 million, the amount of the designated hedged items was $225 million, and the cumulative basis adjustments associated with these hedges was $1 million as of June 30, 2021. We had no such hedging relationships as of December 31, 2020.

(2)Carrying value represents amortized cost.

Offsetting Assets

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 June 30, 2021 and December 31, 2020. 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.

Table 8.3: 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 June 30, 2021
Derivative assets(1)	$	3,716	$	(441)	$	(523)	$	2,752	$	0	$	2,752
As of December 31, 2020
Derivative assets(1)	3,415		(383)		(765)		2,267		0		2,267

	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 June 30, 2021
Derivative liabilities(1)	$	2,410	$	(441)	$	(409)	$	1,560	$	0	$	1,560
Repurchase agreements(2)	845		0		0		845		(845)		0
As of December 31, 2020
Derivative liabilities(1)	1,518		(383)		(356)		779		0		779
Repurchase agreements(2)	668		0		0		668		(668)		0

__________

(1)We received cash collateral from derivative counterparties totaling $574 million and $862 million as of June 30, 2021 and December 31, 2020, respectively. We also received securities from derivative counterparties with a fair value of approximately $1 million as of both June 30, 2021 and December 31, 2020, respectively, which we have the ability to re-pledge. We posted $2.1 billion and $1.5 billion of cash collateral as of June 30, 2021 and December 31, 2020, respectively.

(2)Under our customer repurchase agreements, which mature the next business day, we pledged collateral with a fair value of $862 million and $682 million as of June 30, 2021 and December 31, 2020, respectively, primarily consisting of agency RMBS securities.

Offsetting Liabilities

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 June 30, 2021 and December 31, 2020. 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.

Table 8.3: 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 June 30, 2021
Derivative assets(1)	$	3,716	$	(441)	$	(523)	$	2,752	$	0	$	2,752
As of December 31, 2020
Derivative assets(1)	3,415		(383)		(765)		2,267		0		2,267

	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 June 30, 2021
Derivative liabilities(1)	$	2,410	$	(441)	$	(409)	$	1,560	$	0	$	1,560
Repurchase agreements(2)	845		0		0		845		(845)		0
As of December 31, 2020
Derivative liabilities(1)	1,518		(383)		(356)		779		0		779
Repurchase agreements(2)	668		0		0		668		(668)		0

__________

(1)We received cash collateral from derivative counterparties totaling $574 million and $862 million as of June 30, 2021 and December 31, 2020, respectively. We also received securities from derivative counterparties with a fair value of approximately $1 million as of both June 30, 2021 and December 31, 2020, respectively, which we have the ability to re-pledge. We posted $2.1 billion and $1.5 billion of cash collateral as of June 30, 2021 and December 31, 2020, respectively.

(2)Under our customer repurchase agreements, which mature the next business day, we pledged collateral with a fair value of $862 million and $682 million as of June 30, 2021 and December 31, 2020, respectively, primarily consisting of agency RMBS securities.

Effects of Fair Value and Cash Flow Hedge Accounting

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 six months ended June 30, 2021 and 2020.

Table 8.4: Effects of Fair Value and Cash Flow Hedge Accounting

	Three Months Ended June 30, 2021
	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	$	370	$	5,753	$	16	$	(237)	$	(28)	$	(122)	$	231
Fair value hedging relationships:
Interest rate and foreign exchange contracts:
Interest recognized on derivatives	$	(25)	$	0	$	0	$	34	$	30	$	56	$	0
Gains (losses) recognized on derivatives	11		0		0		(31)		(17)		0		16
Gains (losses) recognized on hedged items(1)	(18)		0		0		31		11		33		(16)
Excluded component of fair value hedges(2)	0		0		0		0		0		0		0
Net income (expense) recognized on fair value hedges	$	(32)	$	0	$	0	$	34	$	24	$	89	$	0
Cash flow hedging relationships:(3)
Interest rate contracts:
Realized gains (losses) reclassified from AOCI into net income	$	11	$	234	$	0	$	0	$	0	$	0	$	0
Foreign exchange contracts:
Realized gains (losses) reclassified from AOCI into net income(4)	0		0		0		0		0		0		1
Net income (expense) recognized on cash flow hedges	$	11	$	234	$	0	$	0	$	0	$	0	$	1

	Six Months Ended June 30, 2021
	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	$	761	$	11,607	$	32	$	(506)	$	(60)	$	(251)	$	349
Fair value hedging relationships:
Interest rate and foreign exchange contracts:
Interest recognized on derivatives	$	(50)	$	0	$	0	$	70	$	63	$	118	$	0
Gains (losses) recognized on derivatives	111		0		0		(89)		(97)		(336)		(45)
Gains (losses) recognized on hedged items(1)	(123)		0		0		89		86		401		45
Excluded component of fair value hedges(2)	0		0		0		0		0		(1)		0
Net income (expense) recognized on fair value hedges	$	(62)	$	0	$	0	$	70	$	52	$	182	$	0
Cash flow hedging relationships:(3)
Interest rate contracts:
Realized gains (losses) reclassified from AOCI into net income	$	20	$	460	$	0	$	0	$	0	$	0	$	0
Foreign exchange contracts:
Realized gains (losses) reclassified from AOCI into net income(4)	0		0		1		0		0		0		1
Net income (expense) recognized on cash flow hedges	$	20	$	460	$	1	$	0	$	0	$	0	$	1

	Three Months Ended June 30, 2020
	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	$	482	$	5,820	$	16	$	(611)	$	(56)	$	(180)	$	166
Fair value hedging relationships:
Interest rate and foreign exchange contracts:
Interest recognized on derivatives	$	(17)	$	0	$	0	$	27	$	40	$	71	$	0
Gains (losses) recognized on derivatives	(26)		0		0		9		(13)		61		26
Gains (losses) recognized on hedged items(1)	22		0		0		(10)		0		(68)		(26)
Excluded component of fair value hedges(2)	0		0		0		0		0		0		0
Net income (expense) recognized on fair value hedges	$	(21)	$	0	$	0	$	26	$	27	$	64	$	0
Cash flow hedging relationships:(3)
Interest rate contracts:
Realized gains (losses) reclassified from AOCI into net income	$	7	$	135	$	0	$	0	$	0	$	0	$	0
Foreign exchange contracts:
Realized gains (losses) reclassified from AOCI into net income(4)	0		0		2		0		0		0		(2)
Net income (expense) recognized on cash flow hedges	$	7	$	135	$	2	$	0	$	0	$	0	$	(2)

	Six Months Ended June 30, 2020
	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	$	1,012	$	12,362	$	53	$	(1,342)	$	(155)	$	(419)	$	311
Fair value hedging relationships:
Interest rate and foreign exchange contracts:
Interest recognized on derivatives	$	(28)	$	0	$	0	$	25	$	52	$	110	$	0
Gains (losses) recognized on derivatives	(364)		0		0		296		269		1,129		3
Gains (losses) recognized on hedged items(1)	360		0		0		(296)		(292)		(1,159)		(3)
Excluded component of fair value hedges(2)	0		0		0		0		0		(1)		0
Net income (expense) recognized on fair value hedges	$	(32)	$	0	$	0	$	25	$	29	$	79	$	0
Cash flow hedging relationships:(3)
Interest rate contracts:
Realized gains reclassified from AOCI into net income	$	9	$	159	$	0	$	0	$	0	$	0	$	0
Foreign exchange contracts:
Realized gains (losses) reclassified from AOCI into net income(4)	0		0		9		0		0		0		(2)
Net income (expense) recognized on cash flow hedges	$	9	$	159	$	9	$	0	$	0	$	0	$	(2)

_________

(1)Includes amortization benefit of $22 million and $44 million for the three and six months ended June 30, 2021, respectively, and amortization expense of $17 million and $53 million, respectively, for the three and six months ended June 30, 2020, 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. The initial value of the excluded component is recognized in earnings over the life of the swap under the amortization approach.

(3)See “Note 9—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 gain of $77 million and $162 million for the three and six months ended June 30, 2021, respectively, and a loss of $299 million and a gain of $93 million for the three and six months ended June 30, 2020, 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.

Gains (Losses) on Free-Standing Derivatives

The net impacts to our consolidated statements of income related to free-standing derivatives are presented below for the three and six months ended June 30, 2021 and 2020. These gains or losses are recognized in other non-interest income on our consolidated statements of income.

Table 8.5: Gains (Losses) on Free-Standing Derivatives

	Three Months Ended June 30,				Six Months Ended June 30,
(Dollars in millions)	2021		2020		2021		2020
Gains (losses) recognized in other non-interest income:
Customer accommodation:
Interest rate contracts	$	8	$	(1)	$	18	$	12
Commodity contracts	4		(1)		9		16
Foreign exchange and other contracts	4		1		8		4
Total customer accommodation	16		(1)		35		32
Other interest rate exposures	(27)		(34)		(16)		(16)
Other contracts	(1)		1		(1)		0
Total	$	(12)	$	(34)	$	18	$	16

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Stockholders' Equity (Tables)

6 Months Ended

Jun. 30, 2021

Equity [Abstract]

Schedule of Preferred Stock

The following table summarizes our preferred stock outstanding as of June 30, 2021 and December 31, 2020.

Table 9.1: Preferred Stock Outstanding(1)

			Redeemable by Issuer Beginning	Per Annum Dividend Rate	Dividend Frequency	Liquidation Preference per Share		Total Shares Outstanding as of June 30, 2021	Carrying Value (in millions)
Series	Description	Issuance Date							June 30, 2021		December 31, 2020
Series E	Fixed-to-Floating Rate Non-Cumulative	May 14, 2015	June 1, 2020	5.550% through 5/31/2020; 3-mo. LIBOR + 380 bps thereafter	Semi-Annually through 5/31/2020; Quarterly thereafter	$	1,000	1,000,000	$	988	$	988
Series G	5.200% Non-Cumulative	July 29, 2016	December 1, 2021	5.200	Quarterly	1,000		600,000	583		583
Series H	6.000% Non-Cumulative	November 29, 2016	December 1, 2021	6.000	Quarterly	1,000		500,000	483		483
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	653		0
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 +3.157%	Quarterly	1,000		1,000,000	988		0
Total									$	6,488	$	4,847

__________

(1)Except for Series E and 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.

Change in AOCI Gain (Loss) by Component (Net of Tax)

The following table includes the AOCI impacts from the adoption of the CECL standard and the changes in AOCI by component for the three and six months ended June 30, 2021 and 2020.

Table 9.2: AOCI

	Three Months Ended June 30, 2021
(Dollars in millions)	Securities Available for Sale		Hedging Relationships(1)		Foreign Currency Translation Adjustments(2)		Other		Total
AOCI as of March 31, 2021	$	1,038	$	781	$	(12)	$	(24)	$	1,783
Other comprehensive income (loss) before reclassifications	51		193		9		0		253
Amounts reclassified from AOCI into earnings	0		(244)		0		0		(244)
Other comprehensive income (loss), net of tax	51		(51)		9		0		9
AOCI as of June 30, 2021	$	1,089	$	730	$	(3)	$	(24)	$	1,792

	Six Months Ended June 30, 2021
(Dollars in millions)	Securities Available for Sale		Hedging Relationships(1)		Foreign Currency Translation Adjustments(2)		Other		Total
AOCI as of December 31, 2020	$	2,186	$	1,362	$	(31)	$	(23)	$	3,494
Other comprehensive income (loss) before reclassifications	(1,094)		(145)		28		0		(1,211)
Amounts reclassified from AOCI into earnings	(3)		(487)		0		(1)		(491)
Other comprehensive income (loss), net of tax	(1,097)		(632)		28		(1)		(1,702)
AOCI as of June 30, 2021	$	1,089	$	730	$	(3)	$	(24)	$	1,792

	Three Months Ended June 30, 2020
(Dollars in millions)	Securities Available for Sale		Hedging Relationships(1)		Foreign Currency Translation Adjustments(2)		Other		Total
AOCI as of March 31, 2020	$	2,151	$	1,728	$	(174)	$	(26)	$	3,679
Other comprehensive income (loss) before reclassifications	222		(60)		23		0		185
Amounts reclassified from AOCI into earnings	0		117		0		0		117
Other comprehensive income, net of tax	222		57		23		0		302
AOCI as of June 30, 2020	$	2,373	$	1,785	$	(151)	$	(26)	$	3,981

	Six Months Ended June 30, 2020
(Dollars in millions)	Securities Available for Sale		Hedging Relationships(1)		Foreign Currency Translation Adjustments(2)		Other		Total
AOCI as of December 31, 2019	$	935	$	354	$	(107)	$	(26)	$	1,156
Cumulative effects from the adoption of the CECL standard	(8)		0		0		0		(8)
Other comprehensive income (loss) before reclassifications	1,446		1,635		(44)		0		3,037
Amounts reclassified from AOCI into earnings	0		(204)		0		0		(204)
Other comprehensive income (loss), net of tax	1,446		1,431		(44)		0		2,833
AOCI as of June 30, 2020	$	2,373	$	1,785	$	(151)	$	(26)	$	3,981

__________

(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 loss of $13 million and $34 million for the three and six months ended June 30, 2021, respectively, and other comprehensive loss of $8 million and gain of $134 million for the three and six months ended June 30, 2020, respectively, from hedging instruments designated as net investment hedges.

Reclassifications from AOCI

The following table presents amounts reclassified from each component of AOCI to our consolidated statements of income for the three and six months ended June 30, 2021 and 2020.

Table 9.3: Reclassifications from AOCI

(Dollars in millions)		Three Months Ended June 30,				Six Months Ended June 30,
AOCI Components	Affected Income Statement Line Item	2021		2020		2021		2020
Securities available for sale:
	Non-interest income	$	0	$	0	$	4	$	0
	Income tax provision	0		0		1		0
	Net income	0		0		3		0
Hedging relationships:
Interest rate contracts:	Interest income	245		142		480		168
Foreign exchange contracts:	Interest income	0		2		1		9
	Interest expense	(1)		(1)		(2)		(2)
	Non-interest income	77		(299)		162		93
	Income (loss) from continuing operations before income taxes	321		(156)		641		268
	Income tax provision (benefit)	77		(39)		154		64
	Net income (loss)	244		(117)		487		204
Other:
	Non-interest income and non-interest expense	0		0		1		0
	Income tax provision	0		0		0		0
	Net income	0		0		1		0
Total reclassifications		$	244	$	(117)	$	491	$	204

Components of Other Comprehensive Income (Loss) and Related Tax Impact

The table below summarizes other comprehensive income (loss) activity and the related tax impact for the three and six months ended June 30, 2021 and 2020.

Table 9.4: Other Comprehensive Income (Loss)

	Three Months Ended June 30,
	2021						2020
(Dollars in millions)	Before Tax		Provision (Benefit)		After Tax		Before Tax		Provision (Benefit)		After Tax
Other comprehensive income (loss):
Net unrealized gains on securities available for sale	$	66	$	15	$	51	$	292	$	70	$	222
Net unrealized gains (losses) on hedging relationships	(68)		(17)		(51)		76		19		57
Foreign currency translation adjustments(1)	4		(5)		9		20		(3)		23
Other	0		0		0		0		0		0
Other comprehensive income (loss)	$	2	$	(7)	$	9	$	388	$	86	$	302

	Six Months Ended June 30,
	2021						2020
(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	$	(1,446)	$	(349)	$	(1,097)	$	1,902	$	456	$	1,446
Net unrealized gains (losses) on hedging relationships	(834)		(202)		(632)		1,884		453		1,431
Foreign currency translation adjustments(1)	17		(11)		28		(1)		43		(44)
Other	(1)		0		(1)		0		0		0
Other comprehensive income (loss)	$	(2,264)	$	(562)	$	(1,702)	$	3,785	$	952	$	2,833

__________

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

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Earnings Per Common Share (Tables)

6 Months Ended

Jun. 30, 2021

Earnings Per Share [Abstract]

Schedule of Computation of Basic and Diluted Earnings Per Common Share

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

Table 10.1: Computation of Basic and Diluted Earnings per Common Share

	Three Months Ended June 30,				Six Months Ended June 30,
(Dollars and shares in millions, except per share data)	2021		2020		2021		2020
Income (loss) from continuing operations, net of tax	$	3,537	$	(917)	$	6,864	$	(2,257)
Loss from discontinued operations, net of tax	(1)		(1)		(3)		(1)
Net income (loss)	3,536		(918)		6,861		(2,258)
Dividends and undistributed earnings allocated to participating securities	(30)		(1)		(58)		(4)
Preferred stock dividends	(60)		(90)		(121)		(145)
Issuance cost for redeemed preferred stock	0		0		0		(22)
Net income (loss) available to common stockholders	$	3,446	$	(1,009)	$	6,682	$	(2,429)
Total weighted-average basic common shares outstanding	450.6		456.7		454.6		457.1
Effect of dilutive securities:(1)
Stock options	0.8		0.0		0.8		0.0
Other contingently issuable shares	0.9		0.0		0.8		0.0
Total effect of dilutive securities	1.7		0.0		1.6		0.0
Total weighted-average diluted common shares outstanding	452.3		456.7		456.2		457.1
Basic earnings per common share:
Net income (loss) from continuing operations	$	7.65	$	(2.21)	$	14.70	$	(5.31)
Net income (loss) per basic common share	$	7.65	$	(2.21)	$	14.70	$	(5.31)
Diluted earnings per common share:(1)
Net income (loss) from continuing operations	$	7.62	$	(2.21)	$	14.65	$	(5.31)
Net income (loss) per diluted common share	$	7.62	$	(2.21)	$	14.65	$	(5.31)

__________

(1)For the three months ended June 30, 2021, no shares were excluded from the computation of diluted earnings per share. For the six months ended June 30, 2021, awards of 51 thousand shares were excluded from the computation of diluted earnings per share because their inclusion would be anti-dilutive. In periods of net loss available to common stockholders, dilutive securities are excluded as their inclusion would have an anti-dilutive effect. Accordingly, for the three and six months ended June 30, 2020, awards of 362 thousand shares and options of 2.6 million shares with an exercise price ranging from $45.75 to $86.34 and awards of 956 thousand shares and options of 2.7 million shares with an exercise price ranging from $36.55 to $86.34 were excluded from the computation of diluted earnings per share, respectively.

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Fair Value Measurement (Tables)

6 Months Ended

Jun. 30, 2021

Fair Value Disclosures [Abstract]

Schedule of Assets and Liabilities Measured at Fair Value on 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 June 30, 2021 and December 31, 2020.

Table 11.1: Assets and Liabilities Measured at Fair Value on a Recurring Basis

	June 30, 2021
	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	$	9,231	$	0	$	0	—		$	9,231
RMBS	0		78,033		289		—		78,322
CMBS	0		11,078		9		—		11,087
Other securities	171		2,955		0		—		3,126
Total securities available for sale	9,402		92,066		298		—		101,766
Loans held for sale	0		371		0		—		371
Other assets:
Derivative assets(2)	602		2,985		129		$	(964)	2,752
Other(3)	496		2		46		0		544
Total assets	$	10,500	$	95,424	$	473	$	(964)	$	105,433
Liabilities:
Other liabilities:
Derivative liabilities(2)	$	1,144	$	1,156	$	110	$	(850)	$	1,560
Total liabilities	$	1,144	$	1,156	$	110	$	(850)	$	1,560

	December 31, 2020
	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	$	9,318	$	0	$	0	—		$	9,318
RMBS	0		76,375		328		—		76,703
CMBS	0		11,624		111		—		11,735
Other securities	142		2,547		0		—		2,689
Total securities available for sale	9,460		90,546		439		—		100,445
Loans held for sale	0		596		0		—		596
Other assets:
Derivative assets(2)	268		3,006		141		$	(1,148)	2,267
Other(3)	430		552		55		—		1,037
Total assets	$	10,158	$	94,700	$	635	$	(1,148)	$	104,345
Liabilities:
Other liabilities:
Derivative liabilities(2)	$	271	$	1,137	$	110	$	(739)	$	779
Total liabilities	$	271	$	1,137	$	110	$	(739)	$	779

__________

(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 8—Derivative Instruments and Hedging Activities” for additional information.

(2)Does not reflect $23 million and $31 million recognized as a net valuation allowance on derivative assets and liabilities for non-performance risk as of June 30, 2021 and December 31, 2020, respectively. Non-performance risk is included in derivative assets and liabilities, which are 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.

(3)As of June 30, 2021 and December 31, 2020, other includes retained interests in securitizations of $46 million and $55 million, deferred compensation plan assets of $472 million and $414 million, and equity securities of $26 million and $568 million including unrealized gains of $24 million and $535 million, respectively.

Schedule of Level 3 Inputs Reconciliation

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 six months ended June 30, 2021 and 2020. 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.

Table 11.2: Level 3 Recurring Fair Value Rollforward

	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
	Three Months Ended June 30, 2021
			Total Gains (Losses) (Realized/Unrealized)																		Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of June 30, 2021(1)
(Dollars in millions)	Balance, April 1, 2021		Included in Net Income(1)		Included in OCI		Purchases		Sales		Issuances		Settlements		Transfers Into Level 3		Transfers Out of Level 3		Balance, June 30, 2021
Securities available for sale:(2)
RMBS	$	326	$	4	$	2	$	0	$	0	$	0	$	(25)	$	45	$	(63)	$	289	$	4
CMBS	10		0		0		0		0		0		0		0		(1)		9		0
Total securities available for sale	336		4		2		0		0		0		(25)		45		(64)		298		4
Other assets:
Retained interests in securitizations	50		(4)		0		0		0		0		0		0		0		46		(4)
Net derivative assets (liabilities)(4)	34		11		0		0		0		(16)		(15)		6		(1)		19		11

	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
	Six Months Ended June 30, 2021
			Total Gains (Losses) (Realized/Unrealized)																		Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of June 30, 2021(1)
(Dollars in millions)	Balance, January 1, 2021		Included in Net Income(1)		Included in OCI		Purchases		Sales		Issuances		Settlements		Transfers Into Level 3		Transfers Out of Level 3		Balance, June 30, 2021
Securities available for sale:(2)
RMBS	$	328	$	11	$	4	$	0	$	0	$	0	$	(51)	$	84	$	(87)	$	289	$	8
CMBS	111		0		(2)		0		0		0		(6)		0		(94)		9		0
Total securities available for sale	439		11		2		0		0		0		(57)		84		(181)		298		8
Other assets:
Retained interests in securitizations	55		(9)		0		0		0		0		0		0		0		46		(9)
Net derivative assets (liabilities)(4)	31		(10)		0		0		0		22		(29)		6		(1)		19		8

	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
	Three Months Ended June 30, 2020
			Total Gains (Losses) (Realized/Unrealized)																		Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of June 30, 2020(1)
(Dollars in millions)	Balance, April 1, 2020		Included in Net Income(1)		Included in OCI		Purchases		Sales		Issuances		Settlements		Transfers Into Level 3		Transfers Out of Level 3		Balance, June 30, 2020
Securities available for sale:(2)
RMBS	$	373	$	6	$	29	$	0	$	0	$	0	$	(16)	$	131	$	(49)	$	474	$	7
CMBS	36		0		(1)		0		0		0		(3)		250		0		282		(3)
Total securities available for sale	409		6		28		0		0		0		(19)		381		(49)		756		4
Other assets:
Retained interests in securitizations	59		(3)		0		0		0		0		0		0		0		56		(3)
Net derivative assets (liabilities)(4)	66		(8)		0		0		0		2		(26)		0		0		34		0

	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
	Six Months Ended June 30, 2020
			Total Gains (Losses) (Realized/Unrealized)																		Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of June 30, 2020(1)
(Dollars in millions)	Balance, January 1, 2020		Included in Net Income(1)		Included in OCI		Purchases		Sales		Issuances		Settlements		Transfers Into Level 3		Transfers Out of Level 3		Balance, June 30, 2020
Securities available for sale:(2)(3)
RMBS	$	433	$	9	$	(24)	$	0	$	0	$	0	$	(33)	$	140	$	(51)	$	474	$	10
CMBS	13		0		(1)		0		0		0		(3)		273		0		282		(3)
Total securities available for sale	446		9		(25)		0		0		0		(36)		413		(51)		756		7
Other assets:
Retained interests in securitizations	66		(10)		0		0		0		0		0		0		0		56		(10)
Net derivative assets (liabilities)(4)	26		12		0		0		0		26		(28)		0		(2)		34		18

__________

(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 the three and six months ended June 30, 2021, included in OCI related to Level 3 securities available for sale still held as of June 30, 2021 were net unrealized losses of $1 million and net unrealized gains of $2 million, respectively. For the three and six months ended June 30, 2020, included in OCI related to Level 3 securities available for sale still held as of June 30, 2020 were net unrealized gains of $36 million and net unrealized losses of $23 million, respectively.

(3)The fair value of RMBS as of January 1, 2020 includes a cumulative adjustment of $4 million from the adoption of the CECL standard.

(4)Includes derivative assets and liabilities of $129 million and $110 million, respectively, as of June 30, 2021 and $151 million and $117 million, respectively, as of June 30, 2020.

Schedule of Assets and Liabilities Measured at Fair Value on Recurring Basis Quantitative Information

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 11.3: Quantitative Information about Level 3 Fair Value Measurements

	Quantitative Information about Level 3 Fair Value Measurements
(Dollars in millions)	Fair Value at June 30, 2021		Significant Valuation Techniques	Significant Unobservable Inputs	Range	Weighted Average(1)
Securities available for sale:
RMBS	$	289	Discounted cash flows (vendor pricing)	Yield Voluntary prepayment rate Default rate Loss severity	1-19% 5-20% 1-11% 30-100%	3% 11% 2% 68%
CMBS	9		Discounted cash flows (vendor pricing)	Yield	0-2%	1%
Other assets:
Retained interests in securitizations(2)	46		Discounted cash flows	Life of receivables (months) Voluntary prepayment rate Discount rate Default rate Loss severity	33-40 9-15% 2-11% 2-4% 55-151%	N/A
Net derivative assets (liabilities)	19		Discounted cash flows	Swap rates	1-2%	1%

	Quantitative Information about Level 3 Fair Value Measurements
(Dollars in millions)	Fair Value at December 31, 2020		Significant Valuation Techniques	Significant Unobservable Inputs	Range	Weighted Average(1)
Securities available for sale:
RMBS	$	328	Discounted cash flows (vendor pricing)	Yield Voluntary prepayment rate Default rate Loss severity	2-12% 8-15% 0-11% 30-100%	3% 10% 2% 73%
CMBS	111		Discounted cash flows (vendor pricing)	Yield	1-3%	2%
Other assets:
Retained interests in securitizations(2)	55		Discounted cash flows	Life of receivables (months) Voluntary prepayment rate Discount rate Default rate Loss severity	37-52 3-13% 2-12% 3-3% 55-70%	N/A
Net derivative assets (liabilities)	31		Discounted cash flows	Swap rates	1%	1%

__________

(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.

Schedule of Assets Measured at Fair Value on Nonrecurring Basis

The following table presents the carrying value of the assets measured at fair value on a nonrecurring basis and still held as of June 30, 2021 and December 31, 2020, and for which a nonrecurring fair value measurement was recorded during the six and twelve months then ended.

Table 11.4: Nonrecurring Fair Value Measurements

	June 30, 2021
	Estimated Fair Value Hierarchy				Total
(Dollars in millions)	Level 2		Level 3
Loans held for investment	$	0	$	204	$	204
Other assets(1)	0		177		177
Total	$	0	$	381	$	381

	December 31, 2020
	Estimated Fair Value Hierarchy				Total
(Dollars in millions)	Level 2		Level 3
Loans held for investment	$	0	$	305	$	305
Other assets(1)	0		175		175
Total	$	0	$	480	$	480

__________

(1)As of June 30, 2021, other assets included equity method investments subject to impairment of $56 million, investments accounted for under measurement alternative of $13 million, repossessed assets of $31 million and long-lived assets held for sale of $77 million. As of December 31, 2020, other assets included equity investments accounted for under the measurement alternative of $25 million, repossessed assets of $42 million and long-lived assets held for sale of $108 million.

Schedule of Earnings Related to Assets Measured at Fair Value on Nonrecurring Basis

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 June 30, 2021 and December 31, 2020.

Table 11.5: Nonrecurring Fair Value Measurements Included in Earnings

	Total Gains (Losses)
	Six Months Ended June 30,
(Dollars in millions)	2021		2020
Loans held for investment	$	(97)	$	(253)
Other assets(1)	(61)		(22)
Total	$	(158)	$	(275)

__________

(1)Other assets include fair value adjustments related to repossessed assets, long-lived assets held for sale and equity investments accounted for under the measurement alternative.

Schedule of 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 June 30, 2021 and December 31, 2020.

Table 11.6: Fair Value of Financial Instruments

	June 30, 2021
	Carrying Value		Estimated Fair Value		Estimated Fair Value Hierarchy
(Dollars in millions)					Level 1		Level 2		Level 3
Financial assets:
Cash and cash equivalents	$	34,846	$	34,846	$	5,312	$	29,534	$	0
Restricted cash for securitization investors	242		242		242		0		0
Net loans held for investment	237,251		242,812		0		0		242,812
Loans held for sale	6,151		6,385		0		6,385		0
Interest receivable	1,372		1,372		0		1,372		0
Other investments(1)	1,344		1,344		0		1,344		0
Financial liabilities:
Deposits with defined maturities	22,225		22,469		0		22,469		0
Securitized debt obligations	10,561		10,717		0		10,717		0
Senior and subordinated notes	24,878		25,724		0		25,724		0
Federal funds purchased and securities loaned or sold under agreements to repurchase	845		845		0		845		0
Interest payable	301		301		0		301		0

	December 31, 2020
	Carrying Value		Estimated Fair Value		Estimated Fair Value Hierarchy
(Dollars in millions)					Level 1		Level 2		Level 3
Financial assets:
Cash and cash equivalents	$	40,509	$	40,509	$	4,708	$	35,801	$	0
Restricted cash for securitization investors	262		262		262		0		0
Net loans held for investment	236,060		244,701		0		0		244,701
Loans held for sale	2,114		2,214		0		2,214		0
Interest receivable	1,471		1,471		0		1,471		0
Other investments(1)	1,341		1,341		0		1,341		0
Financial liabilities:
Deposits with defined maturities	32,746		33,111		0		33,111		0
Securitized debt obligations	12,414		12,584		0		12,584		0
Senior and subordinated notes	27,382		28,282		0		28,282		0
Federal funds purchased and securities loaned or sold under agreements to repurchase	668		668		0		668		0
Interest payable	352		352		0		352		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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Business Segments and Revenue from Contracts with Customers (Tables)

6 Months Ended

Jun. 30, 2021

Segment Reporting [Abstract]

Schedule of Segment Results and Reconciliation

The following table presents our business segment results for the three and six months ended June 30, 2021 and 2020, selected balance sheet data as of June 30, 2021 and 2020, and a reconciliation of our total business segment results to our reported consolidated income from continuing operations, loans held for investment and deposits.

Table 12.1: Segment Results and Reconciliation

	Three Months Ended June 30, 2021
(Dollars in millions)	Credit Card		Consumer Banking		Commercial Banking(1)		Other(1)		Consolidated Total
Net interest income (loss)	$	3,217	$	2,101	$	460	$	(35)	$	5,743
Non-interest income (loss)	1,253		144		257		(23)		1,631
Total net revenue (loss)(2)	4,470		2,245		717		(58)		7,374
Provision (benefit) for credit losses	(635)		(306)		(219)		0		(1,160)
Non-interest expense	2,263		1,123		417		163		3,966
Income (loss) from continuing operations before income taxes	2,842		1,428		519		(221)		4,568
Income tax provision (benefit)	672		337		123		(101)		1,031
Income (loss) from continuing operations, net of tax	$	2,170	$	1,091	$	396	$	(120)	$	3,537
Loans held for investment	$	101,017	$	74,759	$	73,821	$	0	$	249,597
Deposits	0		251,155		42,973		12,180		306,308

	Six Months Ended June 30, 2021
(Dollars in millions)	Credit Card		Consumer Banking		Commercial Banking(1)		Other(1)		Consolidated Total
Net interest income (loss)	$	6,589	$	4,131	$	980	$	(135)	$	11,565
Non-interest income (loss)	2,282		285		497		(142)		2,922
Total net revenue (loss)(2)	8,871		4,416		1,477		(277)		14,487
Provision (benefit) for credit losses	(1,127)		(432)		(422)		(2)		(1,983)
Non-interest expense	4,398		2,240		836		232		7,706
Income (loss) from continuing operations before income taxes	5,600		2,608		1,063		(507)		8,764
Income tax provision (benefit)	1,325		615		251		(291)		1,900
Income (loss) from continuing operations, net of tax	$	4,275	$	1,993	$	812	$	(216)	$	6,864
Loans held for investment	$	101,017	$	74,759	$	73,821	$	0	$	249,597
Deposits	0		251,155		42,973		12,180		306,308

	Three Months Ended June 30, 2020
(Dollars in millions)	Credit Card		Consumer Banking		Commercial Banking(1)		Other(1)		Consolidated Total
Net interest income (loss)	$	3,369	$	1,665	$	518	$	(92)	$	5,460
Non-interest income (loss)	845		97		180		(26)		1,096
Total net revenue (loss)(2)	4,214		1,762		698		(118)		6,556
Provision (benefit) for credit losses	2,944		876		427		(1)		4,246
Non-interest expense	1,969		1,036		425		340		3,770
Loss from continuing operations before income taxes	(699)		(150)		(154)		(457)		(1,460)
Income tax benefit	(166)		(36)		(36)		(305)		(543)
Loss from continuing operations, net of tax	$	(533)	$	(114)	$	(118)	$	(152)	$	(917)
Loans held for investment	$	107,310	$	66,712	$	77,490	$	0	$	251,512
Deposits	0		246,804		35,669		21,765		304,238

	Six Months Ended June 30, 2020
(Dollars in millions)	Credit Card		Consumer Banking		Commercial Banking(1)		Other(1)		Consolidated Total
Net interest income	$	7,071	$	3,322	$	1,009	$	83	$	11,485
Non-interest income (loss)	1,756		223		418		(77)		2,320
Total net revenue(2)	8,827		3,545		1,427		6		13,805
Provision for credit losses	6,646		1,736		1,283		4		9,669
Non-interest expense	4,177		2,027		837		458		7,499
Loss from continuing operations before income taxes	(1,996)		(218)		(693)		(456)		(3,363)
Income tax benefit	(472)		(52)		(164)		(418)		(1,106)
Loss from continuing operations, net of tax	$	(1,524)	$	(166)	$	(529)	$	(38)	$	(2,257)
Loans held for investment	$	107,310	$	66,712	$	77,490	$	0	$	251,512
Deposits	0		246,804		35,669		21,765		304,238

__________

(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 $175 million and $355 million in the three and six months ended June 30, 2021, respectively, and $318 million and $707 million in the three and six months ended June 30, 2020, respectively, for credit card finance charges and fees charged off as uncollectible.

Disaggregation of Revenue

The following table presents revenue from contracts with customers and a reconciliation to non-interest income by business segment for the three and six months ended June 30, 2021 and 2020.

Table 12.2: Revenue from Contracts with Customers and Reconciliation to Segment Results

	Three Months Ended June 30, 2021
(Dollars in millions)	Credit Card		Consumer Banking		Commercial Banking(1)		Other(1)		Consolidated Total
Contract revenue:
Interchange fees, net(2)	$	925	$	67	$	24	$	0	$	1,016
Service charges and other customer-related fees	0		45		66		0		111
Other	94		19		1		0		114
Total contract revenue	1,019		131		91		0		1,241
Revenue (reduction) from other sources	234		13		166		(23)		390
Total non-interest income (loss)	$	1,253	$	144	$	257	$	(23)	$	1,631

	Six Months Ended June 30, 2021
(Dollars in millions)	Credit Card		Consumer Banking		Commercial Banking(1)		Other(1)		Consolidated Total
Contract revenue:
Interchange fees, net(2)	$	1,668	$	124	$	41	$	0	$	1,833
Service charges and other customer-related fees	0		89		116		0		205
Other	164		38		2		0		204
Total contract revenue	1,832		251		159		0		2,242
Revenue (reduction) from other sources	450		34		338		(142)		680
Total non-interest income (loss)	$	2,282	$	285	$	497	$	(142)	$	2,922

	Three Months Ended June 30, 2020
(Dollars in millions)	Credit Card		Consumer Banking		Commercial Banking(1)		Other(1)		Consolidated Total
Contract revenue:
Interchange fees, net(2)	$	612	$	48	$	13	$	(1)	$	672
Service charges and other customer-related fees	0		31		43		(1)		73
Other	57		3		0		0		60
Total contract revenue	669		82		56		(2)		805
Revenue (reduction) from other sources	176		15		124		(24)		291
Total non-interest income	$	845	$	97	$	180	$	(26)	$	1,096

	Six Months Ended June 30, 2020
(Dollars in millions)	Credit Card		Consumer Banking		Commercial Banking(1)		Other(1)		Consolidated Total
Contract revenue:
Interchange fees, net(2)	$	1,300	$	98	$	28	$	(2)	$	1,424
Service charges and other customer-related fees	0		95		74		(1)		168
Other	127		22		1		0		150
Total contract revenue	1,427		215		103		(3)		1,742
Revenue (reduction) from other sources	329		8		315		(74)		578
Total non-interest income	$	1,756	$	223	$	418	$	(77)	$	2,320

________

(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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Commitments, Contingencies, Guarantees, and Others (Tables)

6 Months Ended

Jun. 30, 2021

Commitments and Contingencies Disclosure [Abstract]

Schedule of Letter of Credit and Other Loan Commitments

The following table presents the contractual amount and carrying value of our unfunded lending commitments as of June 30, 2021 and December 31, 2020. The carrying value represents our reserve and deferred revenue on legally binding commitments.

Table 13.1: Unfunded Lending Commitments

	Contractual Amount				Carrying Value
(Dollars in millions)	June 30, 2021		December 31, 2020		June 30, 2021		December 31, 2020
Credit card lines	$	354,098	$	349,594	N/A		N/A
Other loan commitments(1)	38,922		35,836		$	120	$	144
Standby letters of credit and commercial letters of credit(2)	1,290		1,302		27		32
Total unfunded lending commitments	$	394,310	$	386,732	$	147	$	176

__________

(1)Includes $2.6 billion and $1.8 billion of advised lines of credit as of June 30, 2021 and December 31, 2020, respectively.

(2)These financial guarantees have expiration dates that range from 2021 to 2023 as of June 30, 2021.

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Summary of Significant Accounting Policies - Segments (Details)	6 Months Ended
	Jun. 30, 2021 segment
Accounting Policies [Abstract]
Number of operating segments	3

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Investment Securities - Additional Information (Details) - USD ($)
$ in Millions

3 Months Ended

6 Months Ended

Jun. 30, 2021

Dec. 31, 2020

Jun. 30, 2021

Jun. 30, 2020

Jun. 30, 2021

Jun. 30, 2020

Investments, Debt and Equity Securities [Abstract]

Transfers and Servicing of Financial Assets

Securities Pledged and Received

We pledged investment securities totaling $19.2 billion and $16.5 billion as of June 30, 2021 and December 31, 2020, respectively. These securities are primarily pledged to secure FHLB advances and Public Funds deposits, as well as for other purposes as required or permitted by law. We accepted pledges of securities with a fair value of approximately $1 million as of both June 30, 2021 and December 31, 2020, related to our derivative transactions.

Security Owned and Pledged as Collateral, Fair Value

$ 19,200

$ 16,500

$ 19,200

$ 19,200

Securities Received as Collateral

$ 1

$ 1

1

$ 1

Investments in Debt and Equity Instruments, Cash and Cash Equivalents, Unrealized and Realized Gains (Losses)

Net Securities Gains or Losses and Proceeds from Sales

Total proceeds from sales of our securities were $595 million, with gains of $4 million for the six months ended June 30, 2021. We had no sales of securities both for the three months ended June 30, 2021 and 2020. For the six months ended June 30, 2020, total proceeds from the sale of our securities were $144 million and we recognized less than $1 million of gains.

Proceeds from sales

$ 0

$ 0

$ 595

$ 144

Debt Securities, Available-for-sale, Realized Gain

$ 4

$ 1

Available-for-sale securities | Government Contracts Concentration Risk | US Treasury and Agency securities

Concentration Risk [Line Items]

Percentage of portfolio

96.00%

96.00%

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Investment Securities - Investment Available for Sale (Details) - USD ($) $ in Millions	6 Months Ended	12 Months Ended
	Jun. 30, 2021	Dec. 31, 2020
Debt Securities, Available-for-sale [Line Items]
Amortized Cost	$ 100,336	$ 97,569
Allowance for Credit Losses	(1)	(1)
Gross Unrealized Gains	2,005	2,997
Gross Unrealized Losses	(574)	(120)
Fair Value	101,766	100,445
Accrued interest receivable	221	230
U.S. Treasury securities
Debt Securities, Available-for-sale [Line Items]
Amortized Cost	9,211	9,302
Allowance for Credit Losses	0	0
Gross Unrealized Gains	20	16
Gross Unrealized Losses	0	0
Fair Value	9,231	9,318
RMBS, Agency
Debt Securities, Available-for-sale [Line Items]
Amortized Cost	76,318	73,248
Allowance for Credit Losses	0	0
Gross Unrealized Gains	1,433	2,326
Gross Unrealized Losses	(545)	(108)
Fair Value	77,206	75,466
RMBS, Non-agency
Debt Securities, Available-for-sale [Line Items]
Amortized Cost	908	1,035
Allowance for Credit Losses	(1)	(1)
Gross Unrealized Gains	209	204
Gross Unrealized Losses	0	(1)
Fair Value	1,116	1,237
RMBS
Debt Securities, Available-for-sale [Line Items]
Amortized Cost	77,226	74,283
Allowance for Credit Losses	(1)	(1)
Gross Unrealized Gains	1,642	2,530
Gross Unrealized Losses	(545)	(109)
Fair Value	78,322	76,703
CMBS, Agency
Debt Securities, Available-for-sale [Line Items]
Amortized Cost	10,781	11,298
Allowance for Credit Losses	0	0
Gross Unrealized Gains	335	448
Gross Unrealized Losses	(29)	(11)
Fair Value	11,087	11,735
Other securities
Debt Securities, Available-for-sale [Line Items]
Amortized Cost	3,118	2,686
Allowance for Credit Losses	0	0
Gross Unrealized Gains	8	3
Gross Unrealized Losses	0	0
Fair Value	3,126	2,689
Asset-backed Securities
Debt Securities, Available-for-sale [Line Items]
Fair Value	$ 2,300	$ 1,800

XML

Investment Securities - Securities in Gross Unrealized Loss Position (Details) $ in Millions	Jun. 30, 2021 USD ($) security	Dec. 31, 2020 USD ($) security
Debt Securities, Available-for-sale [Line Items]
Fair Value - Less than 12 Months	$ 36,728	$ 9,095
Fair Value - 12 Months or Longer	1,908	2,059
Fair Value - Total	38,636	11,154
Gross Unrealized Loss - Less than 12 Months	(512)	(64)
Gross Unrealized Loss - 12 Months or Longer	(61)	(55)
Gross Unrealized Loss - Total	$ (573)	$ (119)
Number of securities in gross unrealized loss positions | security	570	320
RMBS, Agency
Debt Securities, Available-for-sale [Line Items]
Fair Value - Less than 12 Months	$ 34,165	$ 7,424
Fair Value - 12 Months or Longer	1,685	1,791
Fair Value - Total	35,850	9,215
Gross Unrealized Loss - Less than 12 Months	(485)	(57)
Gross Unrealized Loss - 12 Months or Longer	(59)	(51)
Gross Unrealized Loss - Total	(544)	(108)
RMBS, Non-agency
Debt Securities, Available-for-sale [Line Items]
Fair Value - Less than 12 Months	6	12
Fair Value - 12 Months or Longer	0	0
Fair Value - Total	6	12
Gross Unrealized Loss - Less than 12 Months	0	0
Gross Unrealized Loss - 12 Months or Longer	0	0
Gross Unrealized Loss - Total	0	0
RMBS
Debt Securities, Available-for-sale [Line Items]
Fair Value - Less than 12 Months	34,171	7,436
Fair Value - 12 Months or Longer	1,685	1,791
Fair Value - Total	35,856	9,227
Gross Unrealized Loss - Less than 12 Months	(485)	(57)
Gross Unrealized Loss - 12 Months or Longer	(59)	(51)
Gross Unrealized Loss - Total	(544)	(108)
CMBS, Agency
Debt Securities, Available-for-sale [Line Items]
Fair Value - Less than 12 Months	2,028	1,545
Fair Value - 12 Months or Longer	223	267
Fair Value - Total	2,251	1,812
Gross Unrealized Loss - Less than 12 Months	(27)	(7)
Gross Unrealized Loss - 12 Months or Longer	(2)	(4)
Gross Unrealized Loss - Total	(29)	(11)
Other securities
Debt Securities, Available-for-sale [Line Items]
Fair Value - Less than 12 Months	529	114
Fair Value - 12 Months or Longer	0	1
Fair Value - Total	529	115
Gross Unrealized Loss - Less than 12 Months	0	0
Gross Unrealized Loss - 12 Months or Longer	0	0
Gross Unrealized Loss - Total	$ 0	$ 0

XML

Investment Securities - Contractual Maturities and Weighted-Average Yields of Securities (Details) - USD ($) $ in Millions	6 Months Ended
	Jun. 30, 2021	Dec. 31, 2020
Securities available for sale
Due in 1 year or less	$ 2,098
Due after 1 year through 5 years	13,153
Due after 5 years through 10 years	6,540
Debt Securities, Available-for-sale, Maturity, Allocated and Single Maturity Date, Rolling after 10 Years, Fair Value	79,975
Securities available for sale	101,766	$ 100,445
Amortized cost of securities available for sale
Due in 1 year or less	2,096
Debt Securities, Available-for-sale, Maturity, Allocated and Single Maturity Date, Rolling after One Through Five Years, Amortized Cost	13,087
Due after 5 years through 10 years	6,376
Due > 10 Years	78,777
Amortized Cost	$ 100,336	97,569
Weighted average yield for securities available for sale
Due in 1 Year or Less	0.66%
Due > 1 Year through 5 Years	0.53%
Due > 5 Years through 10 Years	1.51%
Due > 10 Years	1.77%
Total weighted average yield	1.57%
U.S. Treasury securities
Securities available for sale
Due in 1 year or less	$ 1,401
Due after 1 year through 5 years	7,830
Due after 5 years through 10 years	0
Debt Securities, Available-for-sale, Maturity, Allocated and Single Maturity Date, Rolling after 10 Years, Fair Value	0
Securities available for sale	9,231	9,318
Amortized cost of securities available for sale
Amortized Cost	9,211	9,302
RMBS, Agency
Securities available for sale
Due in 1 year or less	0
Due after 1 year through 5 years	97
Due after 5 years through 10 years	1,139
Debt Securities, Available-for-sale, Maturity, Allocated and Single Maturity Date, Rolling after 10 Years, Fair Value	75,970
Securities available for sale	77,206	75,466
Amortized cost of securities available for sale
Amortized Cost	76,318	73,248
RMBS, Non-agency
Securities available for sale
Due in 1 year or less	0
Due after 1 year through 5 years	0
Due after 5 years through 10 years	0
Debt Securities, Available-for-sale, Maturity, Allocated and Single Maturity Date, Rolling after 10 Years, Fair Value	1,116
Securities available for sale	1,116	1,237
Amortized cost of securities available for sale
Amortized Cost	908	1,035
RMBS
Securities available for sale
Due in 1 year or less	0
Due after 1 year through 5 years	97
Due after 5 years through 10 years	1,139
Debt Securities, Available-for-sale, Maturity, Allocated and Single Maturity Date, Rolling after 10 Years, Fair Value	77,086
Securities available for sale	78,322	76,703
Amortized cost of securities available for sale
Amortized Cost	$ 77,226	74,283
Weighted average yield for securities available for sale
Weighted-average expected life	5 years 4 months 24 days
CMBS, Agency
Securities available for sale
Due in 1 year or less	$ 399
Due after 1 year through 5 years	2,666
Due after 5 years through 10 years	5,133
Debt Securities, Available-for-sale, Maturity, Allocated and Single Maturity Date, Rolling after 10 Years, Fair Value	2,889
Securities available for sale	11,087	11,735
Amortized cost of securities available for sale
Amortized Cost	$ 10,781	11,298
Weighted average yield for securities available for sale
Weighted-average expected life	5 years 7 months 6 days
Other securities
Securities available for sale
Due in 1 year or less	$ 298
Due after 1 year through 5 years	2,560
Due after 5 years through 10 years	268
Debt Securities, Available-for-sale, Maturity, Allocated and Single Maturity Date, Rolling after 10 Years, Fair Value	0
Securities available for sale	3,126	2,689
Amortized cost of securities available for sale
Amortized Cost	$ 3,118	$ 2,686

XML

Loans - Additional Information (Details) - USD ($) $ in Millions	3 Months Ended		6 Months Ended
	Jun. 30, 2021	Jun. 30, 2020	Jun. 30, 2021	Jun. 30, 2020	Dec. 31, 2020
Financing Receivable, Allowance for Credit Loss [Line Items]
Accrued interest receivable	$ 1,200		$ 1,200		$ 1,200
TDRs	1,800		1,800		2,100
Commitments to lend on loans modified in TDRs	173		173		173
Federal Home Loan banks
Financing Receivable, Allowance for Credit Loss [Line Items]
Loans Pledged as Collateral	11,600		11,600		14,100
Line of Credit Facility, Remaining Borrowing Capacity	19,200		19,200		19,600
Federal Reserve Discount Window
Financing Receivable, Allowance for Credit Loss [Line Items]
Loans Pledged as Collateral	26,900		26,900		25,500
Line of Credit Facility, Remaining Borrowing Capacity	21,300		21,300		20,000
Credit Card and Consumer Banking | Performing
Financing Receivable, Allowance for Credit Loss [Line Items]
TDRs	1,200		1,200		1,300
Commercial Banking | Performing
Financing Receivable, Allowance for Credit Loss [Line Items]
TDRs	243		243		$ 442
Domestic credit card: | Credit Card
Financing Receivable, Allowance for Credit Loss [Line Items]
Revolving loans converted to term during period	$ 38	$ 89	$ 135	$ 249

XML

Loans - Loan Portfolio Composition and Aging Analysis (Details) - USD ($) $ in Millions	Jun. 30, 2021	Dec. 31, 2020	Jun. 30, 2020
Financing Receivable, Recorded Investment, Aging [Abstract]
Current	$ 244,868	$ 245,060
Past due	4,729	6,564
Total loans held for investment	$ 249,597	$ 251,624	$ 251,512
Financing Receivable, Recorded Investment, Aging, Percent of Total Loan [Abstract]
Current, percentage of total loans	98.11%	97.39%
Past due, percentage of total loans	1.89%	2.61%
Percentage of total loans	100.00%	100.00%
Unamortized premiums and discounts, deferred fees and costs	$ 1,300	$ 1,100
Accrued interest receivable	1,200	1,200
Credit Card
Financing Receivable, Recorded Investment, Aging [Abstract]
Current	99,247	104,334
Past due	1,770	2,622
Total loans held for investment	101,017	106,956
Consumer Banking
Financing Receivable, Recorded Investment, Aging [Abstract]
Current	72,221	65,445
Past due	2,538	3,443
Total loans held for investment	74,759	68,888
Consumer Banking | Auto
Financing Receivable, Recorded Investment, Aging [Abstract]
Current	69,222	62,381
Past due	2,491	3,381
Total loans held for investment	71,713	65,762
Consumer Banking | Retail banking
Financing Receivable, Recorded Investment, Aging [Abstract]
Current	2,999	3,064
Past due	47	62
Total loans held for investment	3,046	3,126
Commercial Banking
Financing Receivable, Recorded Investment, Aging [Abstract]
Current	73,400	75,281
Past due	421	499
Total loans held for investment	73,821	75,780
Commercial Banking | Commercial and multifamily real estate
Financing Receivable, Recorded Investment, Aging [Abstract]
Current	29,476	30,340
Past due	140	341
Total loans held for investment	29,616	30,681
Commercial Banking | Commercial and industrial
Financing Receivable, Recorded Investment, Aging [Abstract]
Current	43,924	44,941
Past due	281	158
Total loans held for investment	44,205	45,099
30-59 days
Financing Receivable, Recorded Investment, Aging [Abstract]
Past due	$ 2,535	$ 3,330
Financing Receivable, Recorded Investment, Aging, Percent of Total Loan [Abstract]
Past due, percentage of total loans	1.01%	1.32%
30-59 days | Credit Card
Financing Receivable, Recorded Investment, Aging [Abstract]
Past due	$ 592	$ 845
30-59 days | Consumer Banking
Financing Receivable, Recorded Investment, Aging [Abstract]
Past due	1,738	2,280
30-59 days | Consumer Banking | Auto
Financing Receivable, Recorded Investment, Aging [Abstract]
Past due	1,717	2,252
30-59 days | Consumer Banking | Retail banking
Financing Receivable, Recorded Investment, Aging [Abstract]
Past due	21	28
Total loans held for investment	21	28
30-59 days | Commercial Banking
Financing Receivable, Recorded Investment, Aging [Abstract]
Past due	205	205
30-59 days | Commercial Banking | Commercial and multifamily real estate
Financing Receivable, Recorded Investment, Aging [Abstract]
Past due	4	136
30-59 days | Commercial Banking | Commercial and industrial
Financing Receivable, Recorded Investment, Aging [Abstract]
Past due	201	69
60-89 days
Financing Receivable, Recorded Investment, Aging [Abstract]
Past due	$ 1,055	$ 1,485
Financing Receivable, Recorded Investment, Aging, Percent of Total Loan [Abstract]
Past due, percentage of total loans	0.42%	0.59%
60-89 days | Credit Card
Financing Receivable, Recorded Investment, Aging [Abstract]
Past due	$ 354	$ 522
60-89 days | Consumer Banking
Financing Receivable, Recorded Investment, Aging [Abstract]
Past due	653	926
60-89 days | Consumer Banking | Auto
Financing Receivable, Recorded Investment, Aging [Abstract]
Past due	645	907
60-89 days | Consumer Banking | Retail banking
Financing Receivable, Recorded Investment, Aging [Abstract]
Past due	8	19
Total loans held for investment	8	19
60-89 days | Commercial Banking
Financing Receivable, Recorded Investment, Aging [Abstract]
Past due	48	37
60-89 days | Commercial Banking | Commercial and multifamily real estate
Financing Receivable, Recorded Investment, Aging [Abstract]
Past due	23	22
60-89 days | Commercial Banking | Commercial and industrial
Financing Receivable, Recorded Investment, Aging [Abstract]
Past due	25	15
Greater than 90 days
Financing Receivable, Recorded Investment, Aging [Abstract]
Past due	$ 1,139	$ 1,749
Financing Receivable, Recorded Investment, Aging, Percent of Total Loan [Abstract]
Past due, percentage of total loans	0.46%	0.70%
Greater than 90 days | Credit Card
Financing Receivable, Recorded Investment, Aging [Abstract]
Past due	$ 824	$ 1,255
Greater than 90 days | Consumer Banking
Financing Receivable, Recorded Investment, Aging [Abstract]
Past due	147	237
Greater than 90 days | Consumer Banking | Auto
Financing Receivable, Recorded Investment, Aging [Abstract]
Past due	129	222
Greater than 90 days | Consumer Banking | Retail banking
Financing Receivable, Recorded Investment, Aging [Abstract]
Past due	18	15
Total loans held for investment	18	15
Greater than 90 days | Commercial Banking
Financing Receivable, Recorded Investment, Aging [Abstract]
Past due	168	257
Greater than 90 days | Commercial Banking | Commercial and multifamily real estate
Financing Receivable, Recorded Investment, Aging [Abstract]
Past due	113	183
Greater than 90 days | Commercial Banking | Commercial and industrial
Financing Receivable, Recorded Investment, Aging [Abstract]
Past due	55	74
Domestic credit card: | Credit Card
Financing Receivable, Recorded Investment, Aging [Abstract]
Current	93,711	96,116
Past due	1,598	2,388
Total loans held for investment	95,309	98,504
Domestic credit card: | 30-59 days | Credit Card
Financing Receivable, Recorded Investment, Aging [Abstract]
Past due	525	755
Total loans held for investment	525	755
Domestic credit card: | 60-89 days | Credit Card
Financing Receivable, Recorded Investment, Aging [Abstract]
Past due	317	464
Total loans held for investment	317	464
Domestic credit card: | Greater than 90 days | Credit Card
Financing Receivable, Recorded Investment, Aging [Abstract]
Past due	756	1,169
Total loans held for investment	756	1,169
International card businesses: | Credit Card
Financing Receivable, Recorded Investment, Aging [Abstract]
Current	5,536	8,218
Past due	172	234
Total loans held for investment	5,708	8,452
International card businesses: | 30-59 days | Credit Card
Financing Receivable, Recorded Investment, Aging [Abstract]
Past due	67	90
Total loans held for investment	67	90
International card businesses: | 60-89 days | Credit Card
Financing Receivable, Recorded Investment, Aging [Abstract]
Past due	37	58
Total loans held for investment	37	58
International card businesses: | Greater than 90 days | Credit Card
Financing Receivable, Recorded Investment, Aging [Abstract]
Past due	68	86
Total loans held for investment	$ 68	$ 86

XML

Loans - 90+ Day Delinquent Loans Accruing Interest and Nonperforming Loans (Details) - USD ($) $ in Millions	3 Months Ended		6 Months Ended
	Jun. 30, 2021	Jun. 30, 2020	Jun. 30, 2021	Jun. 30, 2020	Dec. 31, 2020
Financing Receivable, Past Due [Line Items]
90 Days Past Due and Accruing	$ 823		$ 823		$ 1,302
Nonperforming Loans	1,033		1,033		995
Nonperforming Loans Without an Allowance	$ 549		$ 549		$ 449
Percentage, 90 Days Past Due and Accruing	0.30%		0.30%		0.50%
Percentage, Nonperforming Loans	0.40%		0.40%		0.40%
Percentage, Nonperforming Loans Without an Allowance	0.20%		0.20%		0.20%
Interest income for loans classified as nonperforming	$ 3	$ 5	$ 8	$ 11
Credit Card
Financing Receivable, Past Due [Line Items]
90 Days Past Due and Accruing	821		821		$ 1,251
Nonperforming Loans	12		12		21
Nonperforming Loans Without an Allowance	0		0		0
Credit Card | Domestic credit card:
Financing Receivable, Past Due [Line Items]
90 Days Past Due and Accruing	756		756		1,169
Nonperforming Loans Without an Allowance	0		0		0
Credit Card | International card businesses:
Financing Receivable, Past Due [Line Items]
90 Days Past Due and Accruing	65		65		82
Nonperforming Loans	12		12		21
Nonperforming Loans Without an Allowance	0		0		0
Consumer Banking
Financing Receivable, Past Due [Line Items]
90 Days Past Due and Accruing	0		0		0
Nonperforming Loans	262		262		324
Nonperforming Loans Without an Allowance	20		20		0
Consumer Banking | Auto
Financing Receivable, Past Due [Line Items]
90 Days Past Due and Accruing	0		0		0
Nonperforming Loans	209		209		294
Nonperforming Loans Without an Allowance	0		0		0
Consumer Banking | Retail banking
Financing Receivable, Past Due [Line Items]
90 Days Past Due and Accruing	0		0		0
Nonperforming Loans	53		53		30
Nonperforming Loans Without an Allowance	20		20		0
Commercial Banking
Financing Receivable, Past Due [Line Items]
90 Days Past Due and Accruing	2		2		51
Nonperforming Loans	759		759		650
Nonperforming Loans Without an Allowance	529		529		449
Commercial Banking | Commercial and multifamily real estate
Financing Receivable, Past Due [Line Items]
90 Days Past Due and Accruing	2		2		51
Nonperforming Loans	301		301		200
Nonperforming Loans Without an Allowance	249		249		184
Commercial Banking | Commercial and industrial
Financing Receivable, Past Due [Line Items]
90 Days Past Due and Accruing	0		0		0
Nonperforming Loans	458		458		450
Nonperforming Loans Without an Allowance	$ 280		$ 280		$ 265

XML

Loans - Credit Card Delinquency Status (Details) - USD ($) $ in Millions	Jun. 30, 2021	Dec. 31, 2020	Jun. 30, 2020
Financing Receivable, Allowance for Credit Loss [Line Items]
Income (loss) from continuing operations before income taxes	$ 249,597	$ 251,624	$ 251,512
Credit Card
Financing Receivable, Allowance for Credit Loss [Line Items]
Revolving Loans	100,513	106,323
Revolving Loans Converted to Term	504	633
Income (loss) from continuing operations before income taxes	101,017	106,956
Domestic credit card: | Credit Card
Financing Receivable, Allowance for Credit Loss [Line Items]
Revolving Loans	94,871	97,969
Revolving Loans Converted to Term	438	535
Income (loss) from continuing operations before income taxes	95,309	98,504
International card businesses: | Credit Card
Financing Receivable, Allowance for Credit Loss [Line Items]
Revolving Loans	5,642	8,354
Revolving Loans Converted to Term	66	98
Income (loss) from continuing operations before income taxes	5,708	8,452
Current | Domestic credit card: | Credit Card
Financing Receivable, Allowance for Credit Loss [Line Items]
Revolving Loans	93,304	95,629
Revolving Loans Converted to Term	407	487
Income (loss) from continuing operations before income taxes	93,711	96,116
Current | International card businesses: | Credit Card
Financing Receivable, Allowance for Credit Loss [Line Items]
Revolving Loans	5,484	8,152
Revolving Loans Converted to Term	52	66
Income (loss) from continuing operations before income taxes	5,536	8,218
30-59 days | Domestic credit card: | Credit Card
Financing Receivable, Allowance for Credit Loss [Line Items]
Revolving Loans	512	734
Revolving Loans Converted to Term	13	21
Income (loss) from continuing operations before income taxes	525	755
30-59 days | International card businesses: | Credit Card
Financing Receivable, Allowance for Credit Loss [Line Items]
Revolving Loans	61	79
Revolving Loans Converted to Term	6	11
Income (loss) from continuing operations before income taxes	67	90
60-89 days | Domestic credit card: | Credit Card
Financing Receivable, Allowance for Credit Loss [Line Items]
Revolving Loans	308	451
Revolving Loans Converted to Term	9	13
Income (loss) from continuing operations before income taxes	317	464
60-89 days | International card businesses: | Credit Card
Financing Receivable, Allowance for Credit Loss [Line Items]
Revolving Loans	33	47
Revolving Loans Converted to Term	4	11
Income (loss) from continuing operations before income taxes	37	58
Greater than 90 days | Domestic credit card: | Credit Card
Financing Receivable, Allowance for Credit Loss [Line Items]
Revolving Loans	747	1,155
Revolving Loans Converted to Term	9	14
Income (loss) from continuing operations before income taxes	756	1,169
Greater than 90 days | International card businesses: | Credit Card
Financing Receivable, Allowance for Credit Loss [Line Items]
Revolving Loans	64	76
Revolving Loans Converted to Term	4	10
Income (loss) from continuing operations before income taxes	$ 68	$ 86

XML

Loans - Consumer Banking Portfolio by Credit Quality Indicator (Details) - USD ($) $ in Millions	Jun. 30, 2021	Dec. 31, 2020	Jun. 30, 2020
Financing Receivable, Credit Quality Indicator [Line Items]
Total Loans	$ 249,597	$ 251,624	$ 251,512
Consumer Banking
Financing Receivable, Credit Quality Indicator [Line Items]
Term Loans by Vintage Year One	21,453	29,724
Term Loans by Vintage Year Two	24,359	18,253
Term Loans by Vintage Year Three	14,245	10,209
Term Loans by Vintage Year Four	7,600	6,191
Term Loans by Vintage Year Five	4,272	2,717
Term Loans by Vintage After Year Five	2,255	1,102
Total Term Loans	74,184	68,196
Revolving Loans	566	683
Revolving Loans Converted to Term	9	9
Total Loans	74,759	68,888
Auto | Consumer Banking
Financing Receivable, Credit Quality Indicator [Line Items]
Term Loans by Vintage Year One	20,942	28,683
Term Loans by Vintage Year Two	23,614	18,020
Term Loans by Vintage Year Three	14,035	9,995
Term Loans by Vintage Year Four	7,401	5,967
Term Loans by Vintage Year Five	4,074	2,542
Term Loans by Vintage After Year Five	1,647	555
Total Term Loans	71,713	65,762
Revolving Loans	0	0
Revolving Loans Converted to Term	0	0
Total Loans	71,713	65,762
Retail banking | Consumer Banking
Financing Receivable, Credit Quality Indicator [Line Items]
Term Loans by Vintage Year One	511	1,041
Term Loans by Vintage Year Two	745	233
Term Loans by Vintage Year Three	210	214
Term Loans by Vintage Year Four	199	224
Term Loans by Vintage Year Five	198	175
Term Loans by Vintage After Year Five	608	547
Total Term Loans	2,471	2,434
Revolving Loans	566	683
Revolving Loans Converted to Term	9	9
Total Loans	3,046	3,126
Loans under Paycheck Protection Program	1,100	919
Current | Retail banking | Consumer Banking
Financing Receivable, Credit Quality Indicator [Line Items]
Term Loans by Vintage Year One	511	1,041
Term Loans by Vintage Year Two	745	233
Term Loans by Vintage Year Three	210	206
Term Loans by Vintage Year Four	198	222
Term Loans by Vintage Year Five	195	167
Term Loans by Vintage After Year Five	597	537
Total Term Loans	2,456	2,406
Revolving Loans	535	651
Revolving Loans Converted to Term	8	7
Total Loans	2,999	3,064
30-59 days | Retail banking | Consumer Banking
Financing Receivable, Credit Quality Indicator [Line Items]
Term Loans by Vintage Year One	0	0
Term Loans by Vintage Year Two	0	0
Term Loans by Vintage Year Three	0	7
Term Loans by Vintage Year Four	0	1
Term Loans by Vintage Year Five	0	2
Term Loans by Vintage After Year Five	3	2
Total Term Loans	3	12
Revolving Loans	18	15
Revolving Loans Converted to Term	0	1
Total Loans	21	28
60-89 days | Retail banking | Consumer Banking
Financing Receivable, Credit Quality Indicator [Line Items]
Term Loans by Vintage Year One	0	0
Term Loans by Vintage Year Two	0	0
Term Loans by Vintage Year Three	0	1
Term Loans by Vintage Year Four	0	0
Term Loans by Vintage Year Five	1	5
Term Loans by Vintage After Year Five	4	4
Total Term Loans	5	10
Revolving Loans	3	8
Revolving Loans Converted to Term	0	1
Total Loans	8	19
Greater than 90 days | Retail banking | Consumer Banking
Financing Receivable, Credit Quality Indicator [Line Items]
Term Loans by Vintage Year One	0	0
Term Loans by Vintage Year Two	0	0
Term Loans by Vintage Year Three	0	0
Term Loans by Vintage Year Four	1	1
Term Loans by Vintage Year Five	2	1
Term Loans by Vintage After Year Five	4	4
Total Term Loans	7	6
Revolving Loans	10	9
Revolving Loans Converted to Term	1	0
Total Loans	18	15
Greater than 660 | Auto | Consumer Banking
Financing Receivable, Credit Quality Indicator [Line Items]
Term Loans by Vintage Year One	11,276	13,352
Term Loans by Vintage Year Two	10,874	8,091
Term Loans by Vintage Year Three	6,258	4,675
Term Loans by Vintage Year Four	3,396	2,810
Term Loans by Vintage Year Five	1,855	1,168
Term Loans by Vintage After Year Five	683	203
Total Term Loans	34,342	30,299
Revolving Loans	0	0
Revolving Loans Converted to Term	0	0
Total Loans	34,342	30,299
621-660 | Auto | Consumer Banking
Financing Receivable, Credit Quality Indicator [Line Items]
Term Loans by Vintage Year One	4,130	5,781
Term Loans by Vintage Year Two	4,752	3,631
Term Loans by Vintage Year Three	2,817	2,003
Term Loans by Vintage Year Four	1,496	1,172
Term Loans by Vintage Year Five	815	488
Term Loans by Vintage After Year Five	326	109
Total Term Loans	14,336	13,184
Revolving Loans	0	0
Revolving Loans Converted to Term	0	0
Total Loans	14,336	13,184
620 or below | Auto | Consumer Banking
Financing Receivable, Credit Quality Indicator [Line Items]
Term Loans by Vintage Year One	5,536	9,550
Term Loans by Vintage Year Two	7,988	6,298
Term Loans by Vintage Year Three	4,960	3,317
Term Loans by Vintage Year Four	2,509	1,985
Term Loans by Vintage Year Five	1,404	886
Term Loans by Vintage After Year Five	638	243
Total Term Loans	23,035	22,279
Revolving Loans	0	0
Revolving Loans Converted to Term	0	0
Total Loans	$ 23,035	$ 22,279

XML

Loans - Commercial Banking: Risk Profile by Internal Risk Rating (Details) - USD ($) $ in Millions	Jun. 30, 2021	Dec. 31, 2020	Jun. 30, 2020
Financing Receivable, Allowance for Credit Loss [Line Items]
Total loans held for investment	$ 249,597	$ 251,624	$ 251,512
Commercial Banking
Financing Receivable, Allowance for Credit Loss [Line Items]
Term Loans by Vintage Year One	6,831	14,262
Term Loans by Vintage Year Two	12,119	14,181
Term Loans by Vintage Year Three	12,396	8,366
Term Loans by Vintage Year Four	7,278	4,818
Term Loans by Vintage Year Five	3,842	3,990
Term Loans by Vintage After Year Five	10,773	9,561
Total Term Loans	53,239	55,178
Revolving Loans	20,542	20,455
Revolving Loans Converted to Term	40	147
Total loans held for investment	73,821	75,780
Loans under Paycheck Protection Program	296	238
Commercial Banking | Commercial and multifamily real estate
Financing Receivable, Allowance for Credit Loss [Line Items]
Term Loans by Vintage Year One	1,792	4,111
Term Loans by Vintage Year Two	3,728	5,389
Term Loans by Vintage Year Three	4,765	3,777
Term Loans by Vintage Year Four	3,366	1,798
Term Loans by Vintage Year Five	1,345	2,043
Term Loans by Vintage After Year Five	6,551	6,312
Total Term Loans	21,547	23,430
Revolving Loans	8,044	7,226
Revolving Loans Converted to Term	25	25
Total loans held for investment	29,616	30,681
Commercial Banking | Commercial and multifamily real estate | Noncriticized
Financing Receivable, Allowance for Credit Loss [Line Items]
Term Loans by Vintage Year One	1,636	3,791
Term Loans by Vintage Year Two	3,437	4,932
Term Loans by Vintage Year Three	4,331	3,232
Term Loans by Vintage Year Four	2,956	1,437
Term Loans by Vintage Year Five	1,025	1,649
Term Loans by Vintage After Year Five	4,838	4,904
Total Term Loans	18,223	19,945
Revolving Loans	7,983	7,114
Revolving Loans Converted to Term	0	0
Total loans held for investment	26,206	27,059
Commercial Banking | Commercial and multifamily real estate | Criticized | Criticized performing
Financing Receivable, Allowance for Credit Loss [Line Items]
Term Loans by Vintage Year One	156	320
Term Loans by Vintage Year Two	291	446
Term Loans by Vintage Year Three	426	515
Term Loans by Vintage Year Four	381	355
Term Loans by Vintage Year Five	310	391
Term Loans by Vintage After Year Five	1,459	1,258
Total Term Loans	3,023	3,285
Revolving Loans	61	112
Revolving Loans Converted to Term	25	25
Total loans held for investment	3,109	3,422
Commercial Banking | Commercial and multifamily real estate | Criticized | Criticized nonperforming
Financing Receivable, Allowance for Credit Loss [Line Items]
Term Loans by Vintage Year One	0	0
Term Loans by Vintage Year Two	0	11
Term Loans by Vintage Year Three	8	30
Term Loans by Vintage Year Four	29	6
Term Loans by Vintage Year Five	10	3
Term Loans by Vintage After Year Five	254	150
Total Term Loans	301	200
Revolving Loans	0	0
Revolving Loans Converted to Term	0	0
Total loans held for investment	301	200
Commercial Banking | Commercial and industrial
Financing Receivable, Allowance for Credit Loss [Line Items]
Term Loans by Vintage Year One	5,039	10,151
Term Loans by Vintage Year Two	8,391	8,792
Term Loans by Vintage Year Three	7,631	4,589
Term Loans by Vintage Year Four	3,912	3,020
Term Loans by Vintage Year Five	2,497	1,947
Term Loans by Vintage After Year Five	4,222	3,249
Total Term Loans	31,692	31,748
Revolving Loans	12,498	13,229
Revolving Loans Converted to Term	15	122
Total loans held for investment	44,205	45,099
Commercial Banking | Commercial and industrial | Noncriticized
Financing Receivable, Allowance for Credit Loss [Line Items]
Term Loans by Vintage Year One	4,905	9,761
Term Loans by Vintage Year Two	8,160	7,890
Term Loans by Vintage Year Three	6,730	4,043
Term Loans by Vintage Year Four	3,563	2,717
Term Loans by Vintage Year Five	2,305	1,832
Term Loans by Vintage After Year Five	4,001	3,034
Total Term Loans	29,664	29,277
Revolving Loans	11,596	11,548
Revolving Loans Converted to Term	15	80
Total loans held for investment	41,275	40,905
Commercial Banking | Commercial and industrial | Criticized | Criticized performing
Financing Receivable, Allowance for Credit Loss [Line Items]
Term Loans by Vintage Year One	87	316
Term Loans by Vintage Year Two	169	794
Term Loans by Vintage Year Three	844	521
Term Loans by Vintage Year Four	275	252
Term Loans by Vintage Year Five	163	106
Term Loans by Vintage After Year Five	200	215
Total Term Loans	1,738	2,204
Revolving Loans	734	1,498
Revolving Loans Converted to Term	0	42
Total loans held for investment	2,472	3,744
Commercial Banking | Commercial and industrial | Criticized | Criticized nonperforming
Financing Receivable, Allowance for Credit Loss [Line Items]
Term Loans by Vintage Year One	47	74
Term Loans by Vintage Year Two	62	108
Term Loans by Vintage Year Three	57	25
Term Loans by Vintage Year Four	74	51
Term Loans by Vintage Year Five	29	9
Term Loans by Vintage After Year Five	21	0
Total Term Loans	290	267
Revolving Loans	168	183
Revolving Loans Converted to Term	0	0
Total loans held for investment	$ 458	$ 450

XML

Loans - Trouble Debt Restructurings (Details) - USD ($) $ in Millions	3 Months Ended		6 Months Ended
	Jun. 30, 2021	Jun. 30, 2020	Jun. 30, 2021	Jun. 30, 2020
Financing Receivable, Troubled Debt Restructuring [Line Items]
Total Loans Modified	$ 160	$ 412	$ 422	$ 704
Credit Card
Financing Receivable, Troubled Debt Restructuring [Line Items]
Total Loans Modified	60	84	143	224
Consumer Banking
Financing Receivable, Troubled Debt Restructuring [Line Items]
Total Loans Modified	66	138	181	264
Consumer Banking | Auto
Financing Receivable, Troubled Debt Restructuring [Line Items]
Total Loans Modified	65	137	180	260
Consumer Banking | Retail banking
Financing Receivable, Troubled Debt Restructuring [Line Items]
Total Loans Modified	1	1	1	4
Commercial Banking
Financing Receivable, Troubled Debt Restructuring [Line Items]
Total Loans Modified	34	190	98	216
Commercial Banking | Commercial and multifamily real estate
Financing Receivable, Troubled Debt Restructuring [Line Items]
Total Loans Modified	0	9	20	28
Commercial Banking | Commercial and industrial
Financing Receivable, Troubled Debt Restructuring [Line Items]
Total Loans Modified	$ 34	$ 181	$ 78	$ 188
Reduced Interest Rate
Financing Receivable, Troubled Debt Restructuring [Line Items]
% of TDR Activity	53.00%	22.00%	49.00%	36.00%
Average Rate Reduction	9.38%	17.96%	8.64%	17.90%
Reduced Interest Rate | Credit Card
Financing Receivable, Troubled Debt Restructuring [Line Items]
% of TDR Activity	100.00%	100.00%	100.00%	100.00%
Average Rate Reduction	21.22%	19.14%	21.43%	19.94%
Reduced Interest Rate | Consumer Banking
Financing Receivable, Troubled Debt Restructuring [Line Items]
% of TDR Activity	38.00%	5.00%	36.00%	12.00%
Average Rate Reduction	8.62%	4.19%	8.85%	3.55%
Reduced Interest Rate | Consumer Banking | Auto
Financing Receivable, Troubled Debt Restructuring [Line Items]
% of TDR Activity	39.00%	5.00%	36.00%	12.00%
Average Rate Reduction	8.62%	4.12%	8.87%	3.51%
Reduced Interest Rate | Consumer Banking | Retail banking
Financing Receivable, Troubled Debt Restructuring [Line Items]
% of TDR Activity	0.00%	10.00%	31.00%	4.00%
Average Rate Reduction	0.00%	8.37%	3.77%	11.42%
Reduced Interest Rate | Commercial Banking
Financing Receivable, Troubled Debt Restructuring [Line Items]
% of TDR Activity	0.00%	0.00%	0.00%	0.00%
Average Rate Reduction	0.00%	0.00%	0.00%	0.00%
Reduced Interest Rate | Commercial Banking | Commercial and multifamily real estate
Financing Receivable, Troubled Debt Restructuring [Line Items]
% of TDR Activity	0.00%	0.00%	0.00%	0.00%
Average Rate Reduction	0.00%	0.00%	0.00%	0.00%
Reduced Interest Rate | Commercial Banking | Commercial and industrial
Financing Receivable, Troubled Debt Restructuring [Line Items]
% of TDR Activity	0.00%	0.00%	0.00%	0.00%
Average Rate Reduction	0.00%	0.00%	0.00%	0.00%
Term Extension
Financing Receivable, Troubled Debt Restructuring [Line Items]
% of TDR Activity	49.00%	57.00%	52.00%	52.00%
Average Term Extension (Months)	3 months	5 months	3 months	5 months
Term Extension | Credit Card
Financing Receivable, Troubled Debt Restructuring [Line Items]
% of TDR Activity	0.00%	0.00%	0.00%	0.00%
Average Term Extension (Months)	0 months	0 months	0 months	0 months
Term Extension | Consumer Banking
Financing Receivable, Troubled Debt Restructuring [Line Items]
% of TDR Activity	91.00%	95.00%	94.00%	93.00%
Average Term Extension (Months)	4 months	3 months	3 months	4 months
Term Extension | Consumer Banking | Auto
Financing Receivable, Troubled Debt Restructuring [Line Items]
% of TDR Activity	91.00%	95.00%	94.00%	95.00%
Average Term Extension (Months)	4 months	3 months	3 months	4 months
Term Extension | Consumer Banking | Retail banking
Financing Receivable, Troubled Debt Restructuring [Line Items]
% of TDR Activity	100.00%	59.00%	69.00%	15.00%
Average Term Extension (Months)	41 months	4 months	28 months	4 months
Term Extension | Commercial Banking
Financing Receivable, Troubled Debt Restructuring [Line Items]
% of TDR Activity	56.00%	55.00%	51.00%	57.00%
Average Term Extension (Months)	17 months	8 months	11 months	9 months
Term Extension | Commercial Banking | Commercial and multifamily real estate
Financing Receivable, Troubled Debt Restructuring [Line Items]
% of TDR Activity	0.00%	100.00%	100.00%	100.00%
Average Term Extension (Months)	0 months	7 months	14 months	10 months
Term Extension | Commercial Banking | Commercial and industrial
Financing Receivable, Troubled Debt Restructuring [Line Items]
% of TDR Activity	56.00%	52.00%	38.00%	50.00%
Average Term Extension (Months)	17 months	8 months	8 months	8 months
Principal Forgiveness
Financing Receivable, Troubled Debt Restructuring [Line Items]
% of TDR Activity		4.00%		2.00%
Gross Balance Reduction		$ 7		$ 7
Principal Forgiveness | Credit Card
Financing Receivable, Troubled Debt Restructuring [Line Items]
% of TDR Activity		0.00%		0.00%
Gross Balance Reduction		$ 0		$ 0
Principal Forgiveness | Consumer Banking
Financing Receivable, Troubled Debt Restructuring [Line Items]
% of TDR Activity		0.00%		0.00%
Gross Balance Reduction		$ 0		$ 0
Principal Forgiveness | Consumer Banking | Auto
Financing Receivable, Troubled Debt Restructuring [Line Items]
% of TDR Activity		0.00%		0.00%
Gross Balance Reduction		$ 0		$ 0
Principal Forgiveness | Consumer Banking | Retail banking
Financing Receivable, Troubled Debt Restructuring [Line Items]
% of TDR Activity		0.00%		0.00%
Gross Balance Reduction		$ 0		$ 0
Principal Forgiveness | Commercial Banking
Financing Receivable, Troubled Debt Restructuring [Line Items]
% of TDR Activity		8.00%		7.00%
Gross Balance Reduction		$ 7		$ 7
Principal Forgiveness | Commercial Banking | Commercial and multifamily real estate
Financing Receivable, Troubled Debt Restructuring [Line Items]
% of TDR Activity		0.00%		0.00%
Gross Balance Reduction		$ 0		$ 0
Principal Forgiveness | Commercial Banking | Commercial and industrial
Financing Receivable, Troubled Debt Restructuring [Line Items]
% of TDR Activity		9.00%		8.00%
Gross Balance Reduction		$ 7		$ 7
Domestic credit card: | Credit Card
Financing Receivable, Troubled Debt Restructuring [Line Items]
Total Loans Modified	$ 33	$ 56	$ 77	$ 145
Domestic credit card: | Reduced Interest Rate | Credit Card
Financing Receivable, Troubled Debt Restructuring [Line Items]
% of TDR Activity	100.00%	100.00%	100.00%	100.00%
Average Rate Reduction	16.07%	15.41%	16.10%	16.05%
Domestic credit card: | Term Extension | Credit Card
Financing Receivable, Troubled Debt Restructuring [Line Items]
% of TDR Activity	0.00%	0.00%	0.00%	0.00%
Average Term Extension (Months)	0 months	0 months	0 months	0 months
Domestic credit card: | Principal Forgiveness | Credit Card
Financing Receivable, Troubled Debt Restructuring [Line Items]
% of TDR Activity		0.00%		0.00%
Gross Balance Reduction		$ 0		$ 0
International card businesses: | Credit Card
Financing Receivable, Troubled Debt Restructuring [Line Items]
Total Loans Modified	$ 27	$ 28	$ 66	$ 79
International card businesses: | Reduced Interest Rate | Credit Card
Financing Receivable, Troubled Debt Restructuring [Line Items]
% of TDR Activity	100.00%	100.00%	100.00%	100.00%
Average Rate Reduction	27.45%	26.56%	27.62%	27.05%
International card businesses: | Term Extension | Credit Card
Financing Receivable, Troubled Debt Restructuring [Line Items]
% of TDR Activity	0.00%	0.00%	0.00%	0.00%
Average Term Extension (Months)	0 months	0 months	0 months	0 months
International card businesses: | Principal Forgiveness | Credit Card
Financing Receivable, Troubled Debt Restructuring [Line Items]
% of TDR Activity		0.00%		0.00%
Gross Balance Reduction		$ 0		$ 0

XML

Loans - TDR - Subsequent Defaults (Details) $ in Millions	3 Months Ended		6 Months Ended
	Jun. 30, 2021 USD ($) contract	Jun. 30, 2020 USD ($) contract	Jun. 30, 2021 USD ($) contract	Jun. 30, 2020 USD ($) contract
Financing Receivable, Troubled Debt Restructuring [Line Items]
Number of Contracts | contract	21,334	27,954	45,706	57,979
Total Loans | $	$ 198	$ 78	$ 265	$ 170
Credit Card
Financing Receivable, Troubled Debt Restructuring [Line Items]
Number of Contracts | contract	19,053	27,090	41,389	55,833
Total Loans | $	$ 31	$ 46	$ 69	$ 94
Consumer Banking
Financing Receivable, Troubled Debt Restructuring [Line Items]
Number of Contracts | contract	2,274	863	4,310	2,139
Total Loans | $	$ 35	$ 11	$ 64	$ 27
Consumer Banking | Auto
Financing Receivable, Troubled Debt Restructuring [Line Items]
Number of Contracts | contract	2,271	860	4,302	2,135
Total Loans | $	$ 35	$ 11	$ 64	$ 27
Consumer Banking | Retail banking
Financing Receivable, Troubled Debt Restructuring [Line Items]
Number of Contracts | contract	3	3	8	4
Total Loans | $	$ 0	$ 0	$ 0	$ 0
Commercial Banking
Financing Receivable, Troubled Debt Restructuring [Line Items]
Number of Contracts | contract	7	1	7	7
Total Loans | $	$ 132	$ 21	$ 132	$ 49
Commercial Banking | Commercial and multifamily real estate
Financing Receivable, Troubled Debt Restructuring [Line Items]
Number of Contracts | contract	1	0	1	0
Total Loans | $	$ 50	$ 0	$ 50	$ 0
Commercial Banking | Commercial and industrial
Financing Receivable, Troubled Debt Restructuring [Line Items]
Number of Contracts | contract	6	1	6	7
Total Loans | $	$ 82	$ 21	$ 82	$ 49
Domestic credit card: | Credit Card
Financing Receivable, Troubled Debt Restructuring [Line Items]
Number of Contracts | contract	4,226	9,582	9,360	20,468
Total Loans | $	$ 8	$ 21	$ 18	$ 43
International card businesses: | Credit Card
Financing Receivable, Troubled Debt Restructuring [Line Items]
Number of Contracts | contract	14,827	17,508	32,029	35,365
Total Loans | $	$ 23	$ 25	$ 51	$ 51

XML

Allowance for Credit Losses and Reserve for Unfunded Lending Commitments - Additional Information (Details) - USD ($) $ in Millions	6 Months Ended
	Jun. 30, 2021	Mar. 31, 2021	Dec. 31, 2020	Jun. 30, 2020	Mar. 31, 2020	Dec. 31, 2019
Accounts, Notes, Loans and Financing Receivable [Line Items]
Allowance for credit loss	$ 12,346		$ 15,564
Allowance for credit losses
Accounts, Notes, Loans and Financing Receivable [Line Items]
Increase (Decrease) in Allowance for Credit Loss	(3,200)
Allowance for credit loss	$ 12,346	$ 14,017	$ 15,564	$ 16,832	$ 14,073	$ 7,208

XML

Allowance for Credit Losses and Reserve for Unfunded Lending Commitments - Allowance for Loan and Lease Losses and Reserve for Unfunded Lending Commitments Activity (Details) - USD ($) $ in Millions	3 Months Ended		6 Months Ended
	Jun. 30, 2021	Jun. 30, 2020	Jun. 30, 2021	Jun. 30, 2020
Allowance for Credit Losses [Roll Forward]
Balance at the beginning of the period			$ 15,564
Provision (benefit) for credit losses	$ (1,160)	$ 4,246	(1,983)	$ 9,669
Balance at the end of the period	12,346		12,346
Other
Allowance for Credit Losses [Roll Forward]
Provision (benefit) for credit losses	0	(1)	(2)	4
Allowance for credit losses
Allowance for Credit Losses [Roll Forward]
Balance at the beginning of the period	14,017	14,073	15,564	7,208
Charge-offs	(1,235)	(2,131)	(2,589)	(4,588)
Recoveries	694	626	1,308	1,292
Net charge-offs	(541)	(1,505)	(1,281)	(3,296)
Provision (benefit) for credit losses	(1,137)	4,252	(1,950)	9,619
Allowance build (release) for credit losses	(1,678)	2,747	(3,231)	6,323
Other changes	7	12	13	(6)
Balance at the end of the period	12,346	16,832	12,346	16,832
Allowance for credit losses | Cumulative effects from adoption of new accounting standards
Allowance for Credit Losses [Roll Forward]
Balance at the beginning of the period				2,845
Allowance for credit losses | Finance charge and fee reserve reclassification
Allowance for Credit Losses [Roll Forward]
Balance at the beginning of the period				462
Allowance for credit losses | Cumulative Effect, Period of Adoption, Adjusted Balance
Allowance for Credit Losses [Roll Forward]
Balance at the beginning of the period				10,515
Reserve for unfunded lending commitments
Allowance for Credit Losses [Roll Forward]
Balance at the beginning of the period	187	223	195	135
Provision (benefit) for credit losses	(23)	(5)	(31)	46
Balance at the end of the period	164	218	164	218
Reserve for unfunded lending commitments | Cumulative effects from adoption of new accounting standards
Allowance for Credit Losses [Roll Forward]
Balance at the beginning of the period				37
Reserve for unfunded lending commitments | Cumulative Effect, Period of Adoption, Adjusted Balance
Allowance for Credit Losses [Roll Forward]
Balance at the beginning of the period				172
Combined allowance and reserve
Allowance for Credit Losses [Roll Forward]
Balance at the end of the period	12,510	17,050	12,510	17,050
Credit Card | Allowance for credit losses
Allowance for Credit Losses [Roll Forward]
Balance at the beginning of the period	10,072	10,346	11,191	5,395
Charge-offs	(967)	(1,612)	(1,960)	(3,461)
Recoveries	396	401	756	814
Net charge-offs	(571)	(1,211)	(1,204)	(2,647)
Provision (benefit) for credit losses	(635)	2,944	(1,127)	6,646
Allowance build (release) for credit losses	(1,206)	1,733	(2,331)	3,999
Other changes	7	12	13	(6)
Balance at the end of the period	8,873	12,091	8,873	12,091
Credit Card | Allowance for credit losses | Cumulative effects from adoption of new accounting standards
Allowance for Credit Losses [Roll Forward]
Balance at the beginning of the period				2,241
Credit Card | Allowance for credit losses | Finance charge and fee reserve reclassification
Allowance for Credit Losses [Roll Forward]
Balance at the beginning of the period				462
Credit Card | Allowance for credit losses | Cumulative Effect, Period of Adoption, Adjusted Balance
Allowance for Credit Losses [Roll Forward]
Balance at the beginning of the period				8,098
Credit Card | Reserve for unfunded lending commitments
Allowance for Credit Losses [Roll Forward]
Balance at the beginning of the period	0	0	0	0
Provision (benefit) for credit losses	0	0	0	0
Balance at the end of the period	0	0	0	0
Credit Card | Reserve for unfunded lending commitments | Cumulative effects from adoption of new accounting standards
Allowance for Credit Losses [Roll Forward]
Balance at the beginning of the period				0
Credit Card | Reserve for unfunded lending commitments | Cumulative Effect, Period of Adoption, Adjusted Balance
Allowance for Credit Losses [Roll Forward]
Balance at the beginning of the period				0
Credit Card | Combined allowance and reserve
Allowance for Credit Losses [Roll Forward]
Balance at the end of the period	8,873	12,091	8,873	12,091
Consumer Banking | Allowance for credit losses
Allowance for Credit Losses [Roll Forward]
Balance at the beginning of the period	2,498	2,154	2,715	1,038
Charge-offs	(260)	(416)	(602)	(912)
Recoveries	271	224	522	474
Net charge-offs	11	(192)	(80)	(438)
Provision (benefit) for credit losses	(306)	876	(432)	1,736
Allowance build (release) for credit losses	(295)	684	(512)	1,298
Other changes	0	0	0	0
Balance at the end of the period	2,203	2,838	2,203	2,838
Consumer Banking | Allowance for credit losses | Cumulative effects from adoption of new accounting standards
Allowance for Credit Losses [Roll Forward]
Balance at the beginning of the period				502
Consumer Banking | Allowance for credit losses | Finance charge and fee reserve reclassification
Allowance for Credit Losses [Roll Forward]
Balance at the beginning of the period				0
Consumer Banking | Allowance for credit losses | Cumulative Effect, Period of Adoption, Adjusted Balance
Allowance for Credit Losses [Roll Forward]
Balance at the beginning of the period				1,540
Consumer Banking | Reserve for unfunded lending commitments
Allowance for Credit Losses [Roll Forward]
Balance at the beginning of the period	0	0	0	5
Provision (benefit) for credit losses	0	0	0	0
Balance at the end of the period	0	0	0	0
Consumer Banking | Reserve for unfunded lending commitments | Cumulative effects from adoption of new accounting standards
Allowance for Credit Losses [Roll Forward]
Balance at the beginning of the period				(5)
Consumer Banking | Reserve for unfunded lending commitments | Cumulative Effect, Period of Adoption, Adjusted Balance
Allowance for Credit Losses [Roll Forward]
Balance at the beginning of the period				0
Consumer Banking | Combined allowance and reserve
Allowance for Credit Losses [Roll Forward]
Balance at the end of the period	2,203	2,838	2,203	2,838
Commercial Banking | Allowance for credit losses
Allowance for Credit Losses [Roll Forward]
Balance at the beginning of the period	1,447	1,573	1,658	775
Charge-offs	(8)	(103)	(27)	(215)
Recoveries	27	1	30	4
Net charge-offs	19	(102)	3	(211)
Provision (benefit) for credit losses	(196)	432	(391)	1,237
Allowance build (release) for credit losses	(177)	330	(388)	1,026
Other changes	0	0	0	0
Balance at the end of the period	1,270	1,903	1,270	1,903
Commercial Banking | Allowance for credit losses | Cumulative effects from adoption of new accounting standards
Allowance for Credit Losses [Roll Forward]
Balance at the beginning of the period				102
Commercial Banking | Allowance for credit losses | Finance charge and fee reserve reclassification
Allowance for Credit Losses [Roll Forward]
Balance at the beginning of the period				0
Commercial Banking | Allowance for credit losses | Cumulative Effect, Period of Adoption, Adjusted Balance
Allowance for Credit Losses [Roll Forward]
Balance at the beginning of the period				877
Commercial Banking | Reserve for unfunded lending commitments
Allowance for Credit Losses [Roll Forward]
Balance at the beginning of the period	187	223	195	130
Provision (benefit) for credit losses	(23)	(5)	(31)	46
Balance at the end of the period	164	218	164	218
Commercial Banking | Reserve for unfunded lending commitments | Cumulative effects from adoption of new accounting standards
Allowance for Credit Losses [Roll Forward]
Balance at the beginning of the period				42
Commercial Banking | Reserve for unfunded lending commitments | Cumulative Effect, Period of Adoption, Adjusted Balance
Allowance for Credit Losses [Roll Forward]
Balance at the beginning of the period				172
Commercial Banking | Combined allowance and reserve
Allowance for Credit Losses [Roll Forward]
Balance at the end of the period	$ 1,434	$ 2,121	$ 1,434	$ 2,121

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Allowance for Credit Losses and Reserve for Unfunded Lending Commitments - Summary of Loss Sharing Arrangements (Details) - USD ($) $ in Millions	3 Months Ended		6 Months Ended
	Jun. 30, 2021	Jun. 30, 2020	Jun. 30, 2021	Jun. 30, 2020
Financing Receivable, Allowance for Credit Loss [Roll Forward]
Provision (benefit) for credit losses	$ (1,160)	$ 4,246	$ (1,983)	$ 9,669
Loss sharing agreements
Financing Receivable, Allowance for Credit Loss [Roll Forward]
Expected reimbursement from loss sharing partners, beginning balance	2,005	2,653	2,159	2,166
Amounts due from partners which reduced net charge-offs	(128)	(293)	(269)	(595)
Provision (benefit) for credit losses	(166)	73	(179)	862
Expected reimbursement from loss sharing partners, ending balance	$ 1,711	$ 2,433	$ 1,711	$ 2,433

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Variable Interest Entities and Securitizations - Additional Information (Details) - USD ($) $ in Millions	6 Months Ended
	Jun. 30, 2021	Jun. 30, 2020	Dec. 31, 2020
Variable Interest Entity [Line Items]
Amortization method qualified affordable housing investments, amortization	$ 317	$ 285
Affordable housing tax credits	423	$ 622
Amortization method qualified affordable housing investments	4,600		$ 4,500
Qualified affordable housing investments, commitment	1,600		1,500
Carrying Amount of Assets	423,420		421,602
VIE, reporting entity involvement, maximum loss exposure	5,174		5,038
Unconsolidated
Variable Interest Entity [Line Items]
Carrying Amount of Assets	5,174		5,038
Consolidated
Variable Interest Entity [Line Items]
Carrying Amount of Assets	24,746		26,619
Affordable housing entities
Variable Interest Entity [Line Items]
VIE, reporting entity involvement, maximum loss exposure	4,763		4,602
Affordable housing entities | Unconsolidated
Variable Interest Entity [Line Items]
Total assets of the unconsolidated VIE investment funds	11,600		11,000
Carrying Amount of Assets	4,763		4,602
Affordable housing entities | Consolidated
Variable Interest Entity [Line Items]
Carrying Amount of Assets	272		242
Entities that provide capital to low-income and rural communities
Variable Interest Entity [Line Items]
VIE, reporting entity involvement, maximum loss exposure	0		0
Entities that provide capital to low-income and rural communities | Unconsolidated
Variable Interest Entity [Line Items]
Carrying Amount of Assets	0		0
Entities that provide capital to low-income and rural communities | Consolidated
Variable Interest Entity [Line Items]
Carrying Amount of Assets	2,035		1,951
Other
Variable Interest Entity [Line Items]
VIE, reporting entity involvement, maximum loss exposure	411		436
Other | Unconsolidated
Variable Interest Entity [Line Items]
Carrying Amount of Assets	411		436
Other | Consolidated
Variable Interest Entity [Line Items]
Carrying Amount of Assets	$ 0		$ 0

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Variable Interest Entities and Securitizations - Carrying Amount of Consolidated and Unconsolidated VIEs (Details) - USD ($) $ in Millions	Jun. 30, 2021	Dec. 31, 2020
Variable Interest Entity [Line Items]
Maximum Exposure to Loss	$ 5,174	$ 5,038
Carrying Amount of Assets	423,420	421,602
Carrying Amount of Liabilities	358,796	361,398
Consolidated
Variable Interest Entity [Line Items]
Carrying Amount of Assets	24,746	26,619
Carrying Amount of Liabilities	10,681	12,436
Unconsolidated
Variable Interest Entity [Line Items]
Carrying Amount of Assets	5,174	5,038
Carrying Amount of Liabilities	1,427	1,240
Affordable housing entities
Variable Interest Entity [Line Items]
Maximum Exposure to Loss	4,763	4,602
VIE, nonconsolidated, carrying amount of assets included in certain investment structures	2,200	2,300
VIE, nonconsolidated, carrying amount of liabilities included in certain investment structures	606	596
Affordable housing entities | Consolidated
Variable Interest Entity [Line Items]
Carrying Amount of Assets	272	242
Carrying Amount of Liabilities	31	17
Affordable housing entities | Unconsolidated
Variable Interest Entity [Line Items]
Carrying Amount of Assets	4,763	4,602
Carrying Amount of Liabilities	1,427	1,240
Entities that provide capital to low-income and rural communities
Variable Interest Entity [Line Items]
Maximum Exposure to Loss	0	0
Entities that provide capital to low-income and rural communities | Consolidated
Variable Interest Entity [Line Items]
Carrying Amount of Assets	2,035	1,951
Carrying Amount of Liabilities	26	26
Entities that provide capital to low-income and rural communities | Unconsolidated
Variable Interest Entity [Line Items]
Carrying Amount of Assets	0	0
Carrying Amount of Liabilities	0	0
Other
Variable Interest Entity [Line Items]
Maximum Exposure to Loss	411	436
Other | Consolidated
Variable Interest Entity [Line Items]
Carrying Amount of Assets	0	0
Carrying Amount of Liabilities	0	0
Other | Unconsolidated
Variable Interest Entity [Line Items]
Carrying Amount of Assets	411	436
Carrying Amount of Liabilities	0	0
Total other VIEs
Variable Interest Entity [Line Items]
Maximum Exposure to Loss	5,174	5,038
Total other VIEs | Consolidated
Variable Interest Entity [Line Items]
Carrying Amount of Assets	2,307	2,193
Carrying Amount of Liabilities	57	43
Total other VIEs | Unconsolidated
Variable Interest Entity [Line Items]
Carrying Amount of Assets	5,174	5,038
Carrying Amount of Liabilities	1,427	1,240
Credit card loan securitizations
Variable Interest Entity [Line Items]
Maximum Exposure to Loss	0	0
Credit card loan securitizations | Consolidated
Variable Interest Entity [Line Items]
Carrying Amount of Assets	20,671	22,066
Carrying Amount of Liabilities	9,115	10,338
Credit card loan securitizations | Unconsolidated
Variable Interest Entity [Line Items]
Carrying Amount of Assets	0	0
Carrying Amount of Liabilities	0	0
Auto loan securitizations
Variable Interest Entity [Line Items]
Maximum Exposure to Loss	0	0
Auto loan securitizations | Consolidated
Variable Interest Entity [Line Items]
Carrying Amount of Assets	1,768	2,360
Carrying Amount of Liabilities	1,509	2,055
Auto loan securitizations | Unconsolidated
Variable Interest Entity [Line Items]
Carrying Amount of Assets	0	0
Carrying Amount of Liabilities	0	0
Total securitization-related VIEs
Variable Interest Entity [Line Items]
Maximum Exposure to Loss	0	0
Total securitization-related VIEs | Consolidated
Variable Interest Entity [Line Items]
Carrying Amount of Assets	22,439	24,426
Carrying Amount of Liabilities	10,624	12,393
Total securitization-related VIEs | Unconsolidated
Variable Interest Entity [Line Items]
Carrying Amount of Assets	0	0
Carrying Amount of Liabilities	$ 0	$ 0

XML

Variable Interest Entities and Securitizations - Continuing Involvement in Securitization Related VIEs (Details) - USD ($) $ in Millions	Jun. 30, 2021	Dec. 31, 2020
Credit Card
Qualitative and Quantitative Information, Transferor's Continuing Involvement [Line Items]
Securities held by third-party investors, non-mortgage	$ 9,054	$ 10,361
Receivables in the trust, non-mortgage	21,803	23,683
Cash balance of spread or reserve accounts, non-mortgage	0	0
Auto
Qualitative and Quantitative Information, Transferor's Continuing Involvement [Line Items]
Securities held by third-party investors, non-mortgage	1,507	2,053
Receivables in the trust, non-mortgage	1,664	2,243
Cash balance of spread or reserve accounts, non-mortgage	$ 10	$ 10

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Goodwill and Intangible Assets - Additional Information (Details) - USD ($) $ in Millions	3 Months Ended		6 Months Ended
	Jun. 30, 2021	Jun. 30, 2020	Jun. 30, 2021	Jun. 30, 2020
Goodwill and Intangible Assets Disclosure [Abstract]
Amortization of intangibles	$ 5	$ 16	$ 11	$ 38

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Goodwill and Intangible Assets - Components (Details) - USD ($) $ in Millions	Jun. 30, 2021	Dec. 31, 2020
Schedule of Intangible Assets by Major Class [Line Items]
Goodwill, gross	$ 14,654	$ 14,653
Goodwill	14,654	14,653
Intangible assets, gross (excluding Goodwill)	331	396
Accumulated amortization	(251)	(306)
Intangible assets, net (excluding Goodwill)	80	90
Intangible assets gross including Goodwill	14,985	15,049
Total goodwill and other intangible assets, net carrying value	14,734	14,743
Commercial MSRs, gross	582	542
Commercial MSR, accumulated amortization	(189)	(175)
Total commercial MSRs	393	367
PCCR intangibles
Schedule of Intangible Assets by Major Class [Line Items]
Intangible assets, gross (excluding Goodwill)	148	148
Accumulated amortization	(139)	(138)
Intangible assets, net (excluding Goodwill)	9	10
Other intangible assets
Schedule of Intangible Assets by Major Class [Line Items]
Intangible assets, gross (excluding Goodwill)	183	248
Accumulated amortization	(112)	(168)
Intangible assets, net (excluding Goodwill)	$ 71	$ 80

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Goodwill and Intangible Assets - Goodwill Business Segments (Details) $ in Millions	6 Months Ended
	Jun. 30, 2021 USD ($)
Goodwill [Roll Forward]
Goodwill, beginning balance	$ 14,653
Other adjustments	1
Goodwill, ending balance	14,654
Credit Card
Goodwill [Roll Forward]
Goodwill, beginning balance	5,088
Other adjustments	1
Goodwill, ending balance	5,089
Consumer Banking
Goodwill [Roll Forward]
Goodwill, beginning balance	4,645
Other adjustments	0
Goodwill, ending balance	4,645
Commercial Banking
Goodwill [Roll Forward]
Goodwill, beginning balance	4,920
Other adjustments	0
Goodwill, ending balance	$ 4,920

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Deposits and Borrowings - Deposits and Short-term Borrowings (Details) - USD ($) $ in Millions	Jun. 30, 2021	Dec. 31, 2020	Jun. 30, 2020
Deposits:
Non-interest-bearing deposits	$ 34,994	$ 31,142
Interest-bearing deposits	271,314	274,300
Total deposits	306,308	305,442	$ 304,238
Short-term borrowings
Short-term borrowings	845	668
Time deposits, at or above FDIC insurance limit	2,100	4,200
Federal funds purchased and securities loaned or sold under agreements to repurchase
Short-term borrowings
Short-term borrowings	$ 845	$ 668

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Deposits and Borrowings - Long-Term Debt (Details) - USD ($) $ in Millions	Jun. 30, 2021	Dec. 31, 2020
Debt Instrument [Line Items]
Total long-term debt	$ 35,498	$ 39,871
Total short-term borrowings and long-term debt	36,343	40,539
EUR denominated unsecured notes	24,878	27,382
Euro
Debt Instrument [Line Items]
EUR denominated unsecured notes	$ 1,500	1,600
Securitized debt obligations
Debt Instrument [Line Items]
Weighted average interest rate	1.85%
Carrying value	$ 10,561	12,414
Total senior and subordinated notes
Debt Instrument [Line Items]
Carrying value	$ 24,878	27,382
Senior notes | Total unsecured senior debt
Debt Instrument [Line Items]
Weighted average interest rate	3.06%
Carrying value	$ 20,242	22,654
Senior notes | Fixed unsecured senior debt
Debt Instrument [Line Items]
Weighted average interest rate	3.20%
Carrying value	$ 18,883	21,045
Senior notes | Floating unsecured senior debt
Debt Instrument [Line Items]
Weighted average interest rate	1.09%
Carrying value	$ 1,359	1,609
Subordinated notes | Fixed unsecured subordinated debt
Debt Instrument [Line Items]
Weighted average interest rate	3.78%
Carrying value	$ 4,636	4,728
Finance lease liabilities
Debt Instrument [Line Items]
Weighted average interest rate	4.07%
Carrying value	$ 59	75
Total other long-term borrowings
Debt Instrument [Line Items]
Carrying value	$ 59	$ 75
Minimum | Securitized debt obligations
Debt Instrument [Line Items]
Stated interest rates	0.42%
Minimum | Senior notes | Fixed unsecured senior debt
Debt Instrument [Line Items]
Stated interest rates	0.80%
Minimum | Senior notes | Floating unsecured senior debt
Debt Instrument [Line Items]
Stated interest rates	0.91%
Minimum | Subordinated notes | Fixed unsecured subordinated debt
Debt Instrument [Line Items]
Stated interest rates	3.38%
Minimum | Finance lease liabilities
Debt Instrument [Line Items]
Stated interest rates	0.25%
Maximum | Securitized debt obligations
Debt Instrument [Line Items]
Stated interest rates	2.84%
Maximum | Senior notes | Fixed unsecured senior debt
Debt Instrument [Line Items]
Stated interest rates	4.75%
Maximum | Senior notes | Floating unsecured senior debt
Debt Instrument [Line Items]
Stated interest rates	1.34%
Maximum | Subordinated notes | Fixed unsecured subordinated debt
Debt Instrument [Line Items]
Stated interest rates	4.20%
Maximum | Finance lease liabilities
Debt Instrument [Line Items]
Stated interest rates	9.91%

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Derivative Instruments and Hedging Activities - Additional Information (Details) $ in Millions	6 Months Ended
	Jun. 30, 2021 USD ($)
Derivative Instruments and Hedging Activities Disclosure [Abstract]
Gain (net after-tax) recorded in AOCI related to derivatives designated as cash flow hedges expected to be reclassified to earnings over the next 12 months	$ (507)
Maximum length of time over which forecasted transactions were hedged, years	6 years 8 months 12 days

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Derivative Instruments and Hedging Activities - Derivative Assets and Liabilities at Fair Value (Details) - USD ($) $ in Millions	Jun. 30, 2021	Dec. 31, 2020
Derivatives, Fair Value [Line Items]
Notional or contractual amount	$ 233,333	$ 232,327
Derivative assets, gross amount	3,716	3,415
Derivative liabilities, gross amount	2,410	1,518
Derivative asset, netting adjustments	(964)	(1,148)
Derivative liability, netting adjustments	(850)	(739)
Total derivative assets	2,752	2,267
Total derivative liabilities	1,560	779
Net valuation allowance on derivative assets and liabilities for non-performance risk	23	31
Derivatives designated as accounting hedges
Derivatives, Fair Value [Line Items]
Notional or contractual amount	140,373	138,724
Derivative assets, gross amount	604	921
Derivative liabilities, gross amount	196	368
Derivatives designated as accounting hedges | Interest rate contracts
Derivatives, Fair Value [Line Items]
Notional or contractual amount	131,261	129,499
Derivative assets, gross amount	486	757
Derivative liabilities, gross amount	19	11
Derivatives designated as accounting hedges | Interest rate contracts | Fair value hedges
Derivatives, Fair Value [Line Items]
Notional or contractual amount	44,361	47,349
Derivative assets, gross amount	5	9
Derivative liabilities, gross amount	7	10
Derivatives designated as accounting hedges | Interest rate contracts | Cash flow hedges
Derivatives, Fair Value [Line Items]
Notional or contractual amount	86,900	82,150
Derivative assets, gross amount	481	748
Derivative liabilities, gross amount	12	1
Derivatives designated as accounting hedges | Foreign exchange contracts
Derivatives, Fair Value [Line Items]
Notional or contractual amount	9,112	9,225
Derivative assets, gross amount	118	164
Derivative liabilities, gross amount	177	357
Derivatives designated as accounting hedges | Foreign exchange contracts | Fair value hedges
Derivatives, Fair Value [Line Items]
Notional or contractual amount	1,482	1,527
Derivative assets, gross amount	83	164
Derivative liabilities, gross amount	0	0
Derivatives designated as accounting hedges | Foreign exchange contracts | Cash flow hedges
Derivatives, Fair Value [Line Items]
Notional or contractual amount	4,233	4,582
Derivative assets, gross amount	35	0
Derivative liabilities, gross amount	33	161
Derivatives designated as accounting hedges | Foreign exchange contracts | Net investment hedges
Derivatives, Fair Value [Line Items]
Notional or contractual amount	3,397	3,116
Derivative assets, gross amount	0	0
Derivative liabilities, gross amount	144	196
Derivatives not designated as accounting hedges
Derivatives, Fair Value [Line Items]
Notional or contractual amount	92,960	93,603
Derivative assets, gross amount	3,112	2,494
Derivative liabilities, gross amount	2,214	1,150
Derivatives not designated as accounting hedges | Customer accommodation
Derivatives, Fair Value [Line Items]
Notional or contractual amount	89,763	90,007
Derivative assets, gross amount	3,067	2,422
Derivative liabilities, gross amount	2,167	1,088
Derivatives not designated as accounting hedges | Interest rate contracts | Customer accommodation
Derivatives, Fair Value [Line Items]
Notional or contractual amount	68,537	68,459
Derivative assets, gross amount	935	1,429
Derivative liabilities, gross amount	173	198
Derivatives not designated as accounting hedges | Interest rate contracts | Other interest rate exposures
Derivatives, Fair Value [Line Items]
Notional or contractual amount	1,209	1,770
Derivative assets, gross amount	45	71
Derivative liabilities, gross amount	46	56
Derivatives not designated as accounting hedges | Foreign exchange contracts | Customer accommodation
Derivatives, Fair Value [Line Items]
Notional or contractual amount	4,450	4,677
Derivative assets, gross amount	39	58
Derivative liabilities, gross amount	31	70
Derivatives not designated as accounting hedges | Commodity contracts | Customer accommodation
Derivatives, Fair Value [Line Items]
Notional or contractual amount	16,776	16,871
Derivative assets, gross amount	2,093	935
Derivative liabilities, gross amount	1,963	820
Derivatives not designated as accounting hedges | Other contracts
Derivatives, Fair Value [Line Items]
Notional or contractual amount	1,988	1,826
Derivative assets, gross amount	0	1
Derivative liabilities, gross amount	$ 1	$ 6

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Derivative Instruments and Hedging Activities - Hedged Items in Fair Value Hedging Relationship (Details) - USD ($) $ in Millions	Jun. 30, 2021	Dec. 31, 2020
Hedged Items In Fair Value Hedging Relationship [Line Items]
Hedged Assets, Fair Value Hedge, Cumulative Increase (Decrease)	$ (1)
Hedged Assets, Discontinued Fair Value Hedge, Cumulative Increase (Decrease)	249
Prepayable Financial Asset Closed Portfolio, Last-of-Layer, Amortized Cost	225
Available-for-sale securities
Hedged Items In Fair Value Hedging Relationship [Line Items]
Carrying Amount of Assets	9,936	$ 9,797
Hedged Assets, Fair Value Hedge, Cumulative Increase (Decrease)	467	590
Hedged Assets, Discontinued Fair Value Hedge, Cumulative Increase (Decrease)	188	200
Interest-bearing deposits
Hedged Items In Fair Value Hedging Relationship [Line Items]
Carrying Amount Of Liabilities	(9,882)	(11,312)
Hedged Liabilities, Fair Value Hedge, Cumulative Increase (Decrease)	(124)	(213)
Hedged Liabilities, Discontinued Fair Value Hedge, Cumulative Increase (Decrease)	0	0
Securitized debt obligations
Hedged Items In Fair Value Hedging Relationship [Line Items]
Carrying Amount Of Liabilities	(6,926)	(7,609)
Hedged Liabilities, Fair Value Hedge, Cumulative Increase (Decrease)	(84)	(171)
Hedged Liabilities, Discontinued Fair Value Hedge, Cumulative Increase (Decrease)	9	20
Senior and subordinated notes
Hedged Items In Fair Value Hedging Relationship [Line Items]
Carrying Amount Of Liabilities	(20,267)	(21,927)
Hedged Liabilities, Fair Value Hedge, Cumulative Increase (Decrease)	(879)	(1,282)
Hedged Liabilities, Discontinued Fair Value Hedge, Cumulative Increase (Decrease)	$ (597)	$ (666)

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Derivative Instruments and Hedging Activities - Offsetting Assets (Details) - USD ($) $ in Millions	Jun. 30, 2021	Dec. 31, 2020
Derivative assets
Derivative assets, gross amount	$ 3,716	$ 3,415
Derivative assets, offsetting financial instruments	(441)	(383)
Derivative assets, offsetting cash collateral	(523)	(765)
Total derivative assets	2,752	2,267
Derivative assets, securities not netted	0	0
Net Exposure	2,752	2,267
Derivative, collateral, obligation to return cash	574	862
Derivative, collateral, obligation to return securities	1	1
Derivative, collateral, right to reclaim cash	$ 2,100	$ 1,500

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Derivative Instruments and Hedging Activities - Offsetting Liabilities (Details) - USD ($) $ in Millions	Jun. 30, 2021	Dec. 31, 2020
Derivative liabilities
Derivative liabilities, gross amount	$ 2,410	$ 1,518
Derivative liabilities, offsetting financial instruments	(441)	(383)
Derivative liabilities, offsetting cash collateral	(409)	(356)
Total derivative liabilities	1,560	779
Derivative liabilities, securities collateral not netted	0	0
Net exposure	1,560	779
Repurchase agreements
Gross amounts	845	668
Repurchase agreements, securities sold, offset	0	0
Repurchase agreements, cash collateral pledged, offset	0	0
Net amounts as recognized	845	668
Repurchase agreements, securities collateral not netted	(845)	(668)
Net exposure	0	0
Derivative, collateral, obligation to return cash	574	862
Derivative, collateral, obligation to return securities	1	1
Derivative, collateral, right to reclaim cash	2,100	1,500
Securities sold under repurchase agreements, fair value of collateral	$ 862	$ 682

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Derivative Instruments and Hedging Activities - Effects of Fair Value and Cash Flow Hedge Accounting (Details) - USD ($) $ in Millions	3 Months Ended		6 Months Ended
	Jun. 30, 2021	Jun. 30, 2020	Jun. 30, 2021	Jun. 30, 2020
Derivative Instruments, Gain (Loss) [Line Items]
Interest and dividend income, securities	$ 370	$ 482	$ 761	$ 1,012
Interest and fee income, loans	5,753	5,820	11,607	12,362
Interest and dividend income, other	16	16	32	53
Deposits	(237)	(611)	(506)	(1,342)
Securitized debt obligations	(28)	(56)	(60)	(155)
Senior and subordinated notes	(122)	(180)	(251)	(419)
Non-interest income	231	166	349	311
Amortization expense (benefit)	(22)	17	(44)	53
Non interest income - Other
Derivative Instruments, Gain (Loss) [Line Items]
Realized losses (gains) on foreign exchange contracts reclassified from AOCI	(77)	299	(162)	(93)
Fair value hedges | Interest income - Investment securities
Derivative Instruments, Gain (Loss) [Line Items]
Net income (expense) recognized on fair value hedges	(32)	(21)	(62)	(32)
Fair value hedges | Interest income - Loans
Derivative Instruments, Gain (Loss) [Line Items]
Net income (expense) recognized on fair value hedges	0	0	0	0
Fair value hedges | Interest income - Other
Derivative Instruments, Gain (Loss) [Line Items]
Net income (expense) recognized on fair value hedges	0	0	0	0
Fair value hedges | Interest expense - Deposits
Derivative Instruments, Gain (Loss) [Line Items]
Net income (expense) recognized on fair value hedges	34	26	70	25
Fair value hedges | Interest expense - Securitized Debt Obligation
Derivative Instruments, Gain (Loss) [Line Items]
Net income (expense) recognized on fair value hedges	24	27	52	29
Fair value hedges | Interest expense - Senior and Subordinated Debt
Derivative Instruments, Gain (Loss) [Line Items]
Net income (expense) recognized on fair value hedges	89	64	182	79
Fair value hedges | Non interest income - Other
Derivative Instruments, Gain (Loss) [Line Items]
Net income (expense) recognized on fair value hedges	0	0	0	0
Fair value hedges | Interest rate contracts | Interest income - Investment securities
Derivative Instruments, Gain (Loss) [Line Items]
Interest recognized on derivatives	(25)	(17)	(50)	(28)
Gains (losses) recognized on derivatives	11	(26)	111	(364)
Gains (losses) recognized on hedged items	(18)	22	(123)	360
Gain (Loss) from Components Excluded from Assessment of Fair Value Hedge Effectiveness, Net	0	0	0	0
Fair value hedges | Interest rate contracts | Interest income - Loans
Derivative Instruments, Gain (Loss) [Line Items]
Interest recognized on derivatives	0	0	0	0
Gains (losses) recognized on derivatives	0	0	0	0
Gains (losses) recognized on hedged items	0	0	0	0
Gain (Loss) from Components Excluded from Assessment of Fair Value Hedge Effectiveness, Net	0	0	0	0
Fair value hedges | Interest rate contracts | Interest income - Other
Derivative Instruments, Gain (Loss) [Line Items]
Interest recognized on derivatives	0	0	0	0
Gains (losses) recognized on derivatives	0	0	0	0
Gains (losses) recognized on hedged items	0	0	0	0
Gain (Loss) from Components Excluded from Assessment of Fair Value Hedge Effectiveness, Net	0	0	0	0
Fair value hedges | Interest rate contracts | Interest expense - Deposits
Derivative Instruments, Gain (Loss) [Line Items]
Interest recognized on derivatives	34	27	70	25
Gains (losses) recognized on derivatives	(31)	9	(89)	296
Gains (losses) recognized on hedged items	31	(10)	89	(296)
Gain (Loss) from Components Excluded from Assessment of Fair Value Hedge Effectiveness, Net	0	0	0	0
Fair value hedges | Interest rate contracts | Interest expense - Securitized Debt Obligation
Derivative Instruments, Gain (Loss) [Line Items]
Interest recognized on derivatives	30	40	63	52
Gains (losses) recognized on derivatives	(17)	(13)	(97)	269
Gains (losses) recognized on hedged items	11	0	86	(292)
Gain (Loss) from Components Excluded from Assessment of Fair Value Hedge Effectiveness, Net	0	0	0	0
Fair value hedges | Interest rate contracts | Interest expense - Senior and Subordinated Debt
Derivative Instruments, Gain (Loss) [Line Items]
Interest recognized on derivatives	56	71	118	110
Gains (losses) recognized on derivatives	0	61	(336)	1,129
Gains (losses) recognized on hedged items	33	(68)	401	(1,159)
Gain (Loss) from Components Excluded from Assessment of Fair Value Hedge Effectiveness, Net	0	0	(1)	(1)
Fair value hedges | Interest rate contracts | Non interest income - Other
Derivative Instruments, Gain (Loss) [Line Items]
Interest recognized on derivatives	0	0	0	0
Gains (losses) recognized on derivatives	16	26	(45)	3
Gains (losses) recognized on hedged items	(16)	(26)	45	(3)
Gain (Loss) from Components Excluded from Assessment of Fair Value Hedge Effectiveness, Net	0	0	0	0
Cash flow hedges | Interest income - Investment securities
Derivative Instruments, Gain (Loss) [Line Items]
Net income (expense) recognized on cash flow hedges	11	7	20	9
Cash flow hedges | Interest income - Loans
Derivative Instruments, Gain (Loss) [Line Items]
Net income (expense) recognized on cash flow hedges	234	135	460	159
Cash flow hedges | Interest income - Other
Derivative Instruments, Gain (Loss) [Line Items]
Net income (expense) recognized on cash flow hedges	0	2	1	9
Cash flow hedges | Interest expense - Deposits
Derivative Instruments, Gain (Loss) [Line Items]
Net income (expense) recognized on cash flow hedges	0	0	0	0
Cash flow hedges | Interest expense - Securitized Debt Obligation
Derivative Instruments, Gain (Loss) [Line Items]
Net income (expense) recognized on cash flow hedges	0	0	0	0
Cash flow hedges | Interest expense - Senior and Subordinated Debt
Derivative Instruments, Gain (Loss) [Line Items]
Net income (expense) recognized on cash flow hedges	0	0	0	0
Cash flow hedges | Non interest income - Other
Derivative Instruments, Gain (Loss) [Line Items]
Net income (expense) recognized on cash flow hedges	1	(2)	1	(2)
Cash flow hedges | Interest rate contracts | Interest income - Investment securities
Derivative Instruments, Gain (Loss) [Line Items]
Reclassification adjustment from AOCI on derivatives, net of tax	11	7	20	9
Cash flow hedges | Interest rate contracts | Interest income - Loans
Derivative Instruments, Gain (Loss) [Line Items]
Reclassification adjustment from AOCI on derivatives, net of tax	234	135	460	159
Cash flow hedges | Interest rate contracts | Interest income - Other
Derivative Instruments, Gain (Loss) [Line Items]
Reclassification adjustment from AOCI on derivatives, net of tax	0	0	0	0
Cash flow hedges | Interest rate contracts | Interest expense - Deposits
Derivative Instruments, Gain (Loss) [Line Items]
Reclassification adjustment from AOCI on derivatives, net of tax	0	0	0	0
Cash flow hedges | Interest rate contracts | Interest expense - Securitized Debt Obligation
Derivative Instruments, Gain (Loss) [Line Items]
Reclassification adjustment from AOCI on derivatives, net of tax	0	0	0	0
Cash flow hedges | Interest rate contracts | Interest expense - Senior and Subordinated Debt
Derivative Instruments, Gain (Loss) [Line Items]
Reclassification adjustment from AOCI on derivatives, net of tax	0	0	0	0
Cash flow hedges | Interest rate contracts | Non interest income - Other
Derivative Instruments, Gain (Loss) [Line Items]
Reclassification adjustment from AOCI on derivatives, net of tax	0	0	0	0
Cash flow hedges | Foreign exchange contracts | Interest income - Investment securities
Derivative Instruments, Gain (Loss) [Line Items]
Reclassification adjustment from AOCI on derivatives, net of tax	0	0	0	0
Cash flow hedges | Foreign exchange contracts | Interest income - Loans
Derivative Instruments, Gain (Loss) [Line Items]
Reclassification adjustment from AOCI on derivatives, net of tax	0	0	0	0
Cash flow hedges | Foreign exchange contracts | Interest income - Other
Derivative Instruments, Gain (Loss) [Line Items]
Reclassification adjustment from AOCI on derivatives, net of tax	0	2	1	9
Cash flow hedges | Foreign exchange contracts | Interest expense - Deposits
Derivative Instruments, Gain (Loss) [Line Items]
Reclassification adjustment from AOCI on derivatives, net of tax	0	0	0	0
Cash flow hedges | Foreign exchange contracts | Interest expense - Securitized Debt Obligation
Derivative Instruments, Gain (Loss) [Line Items]
Reclassification adjustment from AOCI on derivatives, net of tax	0	0	0	0
Cash flow hedges | Foreign exchange contracts | Interest expense - Senior and Subordinated Debt
Derivative Instruments, Gain (Loss) [Line Items]
Reclassification adjustment from AOCI on derivatives, net of tax	0	0	0	0
Cash flow hedges | Foreign exchange contracts | Non interest income - Other
Derivative Instruments, Gain (Loss) [Line Items]
Reclassification adjustment from AOCI on derivatives, net of tax	$ 1	$ (2)	$ 1	$ (2)

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Derivative Instruments and Hedging Activities - Gains Losses on Freestanding Derivatives (Details) - Other non-interest income - USD ($) $ in Millions	3 Months Ended		6 Months Ended
	Jun. 30, 2021	Jun. 30, 2020	Jun. 30, 2021	Jun. 30, 2020
Derivative Instruments, Gain (Loss) [Line Items]
Gains (losses) on derivatives not designated as accounting hedges	$ (12)	$ (34)	$ 18	$ 16
Interest rate contracts
Derivative Instruments, Gain (Loss) [Line Items]
Gains (losses) on derivatives not designated as accounting hedges	16	(1)	35	32
Interest rate contracts | Customer accommodation
Derivative Instruments, Gain (Loss) [Line Items]
Gains (losses) on derivatives not designated as accounting hedges	8	(1)	18	12
Interest rate contracts | Other interest rate exposures
Derivative Instruments, Gain (Loss) [Line Items]
Gains (losses) on derivatives not designated as accounting hedges	(27)	(34)	(16)	(16)
Commodity contracts | Customer accommodation
Derivative Instruments, Gain (Loss) [Line Items]
Gains (losses) on derivatives not designated as accounting hedges	4	(1)	9	16
Foreign exchange contracts | Customer accommodation
Derivative Instruments, Gain (Loss) [Line Items]
Gains (losses) on derivatives not designated as accounting hedges	4	1	8	4
Other contracts
Derivative Instruments, Gain (Loss) [Line Items]
Gains (losses) on derivatives not designated as accounting hedges	$ (1)	$ 1	$ (1)	$ 0

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Stockholders' Equity - Preferred Stock Outstanding (Details) $ / shares in Units, $ in Millions	6 Months Ended
	Jun. 30, 2021 USD ($) $ / shares shares	Dec. 31, 2020 USD ($)
Class of Stock [Line Items]
Preferred Stock, Including Additional Paid in Capital, Net of Discount	$ 6,488	$ 4,847
Depository Share, Percent Interest in Preferred Stock	0.025
Series E Preferred Stock
Class of Stock [Line Items]
Per Annum Dividend Rate	5.55%
Liquidation Preference per Share | $ / shares	$ 1,000
Total Shares Outstanding as of June 30, 2021 | shares	1,000,000
Preferred Stock, Including Additional Paid in Capital, Net of Discount	$ 988	988
Preferred Stock Dividend Rate, Variable	3.80%
Preferred Stock, Dividend Payment Rate, Variable	LIBOR + 380 bps
Series G Preferred Stock
Class of Stock [Line Items]
Per Annum Dividend Rate	5.20%
Liquidation Preference per Share | $ / shares	$ 1,000
Total Shares Outstanding as of June 30, 2021 | shares	600,000
Preferred Stock, Including Additional Paid in Capital, Net of Discount	$ 583	583
Series H Preferred Stock
Class of Stock [Line Items]
Per Annum Dividend Rate	6.00%
Liquidation Preference per Share | $ / shares	$ 1,000
Total Shares Outstanding as of June 30, 2021 | shares	500,000
Preferred Stock, Including Additional Paid in Capital, Net of Discount	$ 483	483
Series I Preferred Stock
Class of Stock [Line Items]
Per Annum Dividend Rate	5.00%
Liquidation Preference per Share | $ / shares	$ 1,000
Total Shares Outstanding as of June 30, 2021 | shares	1,500,000
Preferred Stock, Including Additional Paid in Capital, Net of Discount	$ 1,462	1,462
Series J Preferred Stock
Class of Stock [Line Items]
Per Annum Dividend Rate	4.80%
Liquidation Preference per Share | $ / shares	$ 1,000
Total Shares Outstanding as of June 30, 2021 | shares	1,250,000
Preferred Stock, Including Additional Paid in Capital, Net of Discount	$ 1,209	1,209
Series K Preferred Stock
Class of Stock [Line Items]
Per Annum Dividend Rate	4.625%
Liquidation Preference per Share | $ / shares	$ 1,000
Total Shares Outstanding as of June 30, 2021 | shares	125,000
Preferred Stock, Including Additional Paid in Capital, Net of Discount	$ 122	122
Series L Preferred Stock
Class of Stock [Line Items]
Per Annum Dividend Rate	4.375%
Liquidation Preference per Share | $ / shares	$ 1,000
Total Shares Outstanding as of June 30, 2021 | shares	675,000
Preferred Stock, Including Additional Paid in Capital, Net of Discount	$ 653	0
Series M Preferred Stock
Class of Stock [Line Items]
Per Annum Dividend Rate	3.95%
Liquidation Preference per Share | $ / shares	$ 1,000
Total Shares Outstanding as of June 30, 2021 | shares	1,000,000
Preferred Stock, Including Additional Paid in Capital, Net of Discount	$ 988	$ 0
Preferred Stock, Dividend Payment Rate, Variable	5-Year Treasury +3.157

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Stockholders' Equity - Accumulated Other Comprehensive Income (Loss) (Details) - USD ($) $ in Millions	3 Months Ended		6 Months Ended
	Jun. 30, 2021	Jun. 30, 2020	Jun. 30, 2021	Jun. 30, 2020
Accumulated Other Comprehensive Income (Loss), Net of Tax [Roll Forward]
AOCI beginning balance			$ 3,494
Other comprehensive income (loss), net of tax	$ 9	$ 302	(1,702)	$ 2,833
AOCI ending balance	1,792		1,792
Securities available for sale
Accumulated Other Comprehensive Income (Loss), Net of Tax [Roll Forward]
AOCI beginning balance	1,038	2,151	2,186	935
Other comprehensive income (loss) before reclassifications	51	222	(1,094)	1,446
Amounts reclassified from AOCI into earnings	0	0	(3)	0
Other comprehensive income (loss), net of tax	51	222	(1,097)	1,446
AOCI ending balance	1,089	2,373	1,089	2,373
Hedging Relationships
Accumulated Other Comprehensive Income (Loss), Net of Tax [Roll Forward]
AOCI beginning balance	781	1,728	1,362	354
Other comprehensive income (loss) before reclassifications	193	(60)	(145)	1,635
Amounts reclassified from AOCI into earnings	(244)	117	(487)	(204)
Other comprehensive income (loss), net of tax	(51)	57	(632)	1,431
AOCI ending balance	730	1,785	730	1,785
Foreign Currency Translation Adjustments
Accumulated Other Comprehensive Income (Loss), Net of Tax [Roll Forward]
AOCI beginning balance	(12)	(174)	(31)	(107)
Other comprehensive income (loss) before reclassifications	9	23	28	(44)
Amounts reclassified from AOCI into earnings	0	0	0	0
Other comprehensive income (loss), net of tax	9	23	28	(44)
AOCI ending balance	(3)	(151)	(3)	(151)
Other
Accumulated Other Comprehensive Income (Loss), Net of Tax [Roll Forward]
AOCI beginning balance	(24)	(26)	(23)	(26)
Other comprehensive income (loss) before reclassifications	0	0	0	0
Amounts reclassified from AOCI into earnings	0	0	(1)	0
Other comprehensive income (loss), net of tax	0	0	(1)	0
AOCI ending balance	(24)	(26)	(24)	(26)
Total
Accumulated Other Comprehensive Income (Loss), Net of Tax [Roll Forward]
AOCI beginning balance	1,783	3,679	3,494	1,156
Other comprehensive income (loss) before reclassifications	253	185	(1,211)	3,037
Amounts reclassified from AOCI into earnings	(244)	117	(491)	(204)
Other comprehensive income (loss), net of tax	9	302	(1,702)	2,833
AOCI ending balance	1,792	3,981	1,792	3,981
Net investment hedges
Accumulated Other Comprehensive Income (Loss), Net of Tax [Roll Forward]
Other comprehensive gain (loss)	$ (13)	$ (8)	$ (34)	134
Cumulative effects from adoption of new accounting standards | Securities available for sale
Accumulated Other Comprehensive Income (Loss), Net of Tax [Roll Forward]
AOCI beginning balance				(8)
Cumulative effects from adoption of new accounting standards | Hedging Relationships
Accumulated Other Comprehensive Income (Loss), Net of Tax [Roll Forward]
AOCI beginning balance				0
Cumulative effects from adoption of new accounting standards | Foreign Currency Translation Adjustments
Accumulated Other Comprehensive Income (Loss), Net of Tax [Roll Forward]
AOCI beginning balance				0
Cumulative effects from adoption of new accounting standards | Other
Accumulated Other Comprehensive Income (Loss), Net of Tax [Roll Forward]
AOCI beginning balance				0
Cumulative effects from adoption of new accounting standards | Total
Accumulated Other Comprehensive Income (Loss), Net of Tax [Roll Forward]
AOCI beginning balance				$ (8)

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Stockholders' Equity - Reclassifications from AOCI (Details) - USD ($) $ in Millions	3 Months Ended		6 Months Ended
	Jun. 30, 2021	Jun. 30, 2020	Jun. 30, 2021	Jun. 30, 2020	Mar. 31, 2021	Dec. 31, 2020	Mar. 31, 2020	Dec. 31, 2019
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items]
Interest income	$ 5,743	$ 5,460	$ 11,565	$ 11,485
Interest expense	396	858	835	1,942
Non-interest income	231	166	349	311
Income (loss) from continuing operations before income taxes	4,568	(1,460)	8,764	(3,363)
Income tax provision	1,031	(543)	1,900	(1,106)
Net income (loss)	3,536	(918)	6,861	(2,258)
Accumulated other comprehensive income	1,792		1,792			$ 3,494
Other comprehensive income (loss), net of tax	9	302	(1,702)	2,833
Reclassification out of Accumulated Other Comprehensive Income [Member]
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items]
Net income (loss)	244	(117)	491	204
Securities available for sale
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items]
Accumulated other comprehensive income	1,089	2,373	1,089	2,373	$ 1,038	2,186	$ 2,151	$ 935
Other comprehensive income (loss) before reclassifications	51	222	(1,094)	1,446
Reclassification from Accumulated Other Comprehensive Income, Current Period, Net of Tax	0	0	(3)	0
Other comprehensive income (loss), net of tax	51	222	(1,097)	1,446
Securities available for sale | Reclassification out of Accumulated Other Comprehensive Income [Member]
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items]
Non-interest income	0	0	4	0
Income tax provision	0	0	1	0
Net income (loss)	0	0	3	0
Hedging Relationships
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items]
Accumulated other comprehensive income	730	1,785	730	1,785	781	1,362	1,728	354
Other comprehensive income (loss) before reclassifications	193	(60)	(145)	1,635
Reclassification from Accumulated Other Comprehensive Income, Current Period, Net of Tax	(244)	117	(487)	(204)
Other comprehensive income (loss), net of tax	(51)	57	(632)	1,431
Hedging Relationships | Interest rate contracts | Reclassification out of Accumulated Other Comprehensive Income [Member]
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items]
Interest income	245	142	480	168
Hedging Relationships | Foreign exchange contracts | Reclassification out of Accumulated Other Comprehensive Income [Member]
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items]
Interest income	0	2	1	9
Interest expense	(1)	(1)	(2)	(2)
Non-interest income	77	(299)	162	93
Income (loss) from continuing operations before income taxes	321	(156)	641	268
Income tax provision	77	(39)	154	64
Net income (loss)	244	(117)	487	204
Foreign Currency Translation Adjustments
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items]
Accumulated other comprehensive income	(3)	(151)	(3)	(151)	(12)	(31)	(174)	(107)
Other comprehensive income (loss) before reclassifications	9	23	28	(44)
Reclassification from Accumulated Other Comprehensive Income, Current Period, Net of Tax	0	0	0	0
Other comprehensive income (loss), net of tax	9	23	28	(44)
Other
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items]
Accumulated other comprehensive income	(24)	(26)	(24)	(26)	(24)	(23)	(26)	(26)
Other comprehensive income (loss) before reclassifications	0	0	0	0
Reclassification from Accumulated Other Comprehensive Income, Current Period, Net of Tax	0	0	(1)	0
Other comprehensive income (loss), net of tax	0	0	(1)	0
Other | Reclassification out of Accumulated Other Comprehensive Income [Member]
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items]
Income (loss) from continuing operations before income taxes	0	0	1	0
Income tax provision	0	0	0	0
Net income (loss)	0	0	1	0
Accumulated Other Comprehensive Income (Loss)
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items]
Accumulated other comprehensive income	1,792	3,981	1,792	3,981	$ 1,783	$ 3,494	$ 3,679	$ 1,156
Other comprehensive income (loss) before reclassifications	253	185	(1,211)	3,037
Reclassification from Accumulated Other Comprehensive Income, Current Period, Net of Tax	(244)	117	(491)	(204)
Other comprehensive income (loss), net of tax	$ 9	$ 302	$ (1,702)	$ 2,833

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Stockholders' Equity - Other Comprehensive Income (Details) - USD ($) $ in Millions	3 Months Ended		6 Months Ended
	Jun. 30, 2021	Jun. 30, 2020	Jun. 30, 2021	Jun. 30, 2020
Before Tax
Net unrealized gains (losses) on securities available for sale	$ 66	$ 292	$ (1,446)	$ 1,902
Net unrealized gains (losses) on hedging relationships	(68)	76	(834)	1,884
Foreign currency translation adjustments	4	20	17	(1)
Other	0	0	(1)	0
Other comprehensive income (loss), before tax	2	388	(2,264)	3,785
Provision (Benefit)
Net unrealized gains (losses) on securities available for sale	15	70	(349)	456
Net unrealized gains (losses) on hedging relationships	(17)	19	(202)	453
Foreign currency translation adjustments	(5)	(3)	(11)	43
Other	0	0	0	0
Other comprehensive income (loss), provision (benefit)	(7)	86	(562)	952
After Tax
Net unrealized gains (losses) on securities available for sale	51	222	(1,097)	1,446
Net unrealized gains (losses) on hedging relationships	(51)	57	(632)	1,431
Foreign currency translation adjustments	9	23	28	(44)
Other	0	0	(1)	0
Other comprehensive income (loss), net of tax	$ 9	$ 302	$ (1,702)	$ 2,833

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Earnings Per Common Share - Additional Information (Details) - $ / shares shares in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2021	Jun. 30, 2020	Jun. 30, 2021	Jun. 30, 2020
Award
Antidilutive Securities Excluded from Computation of Earnings Per Share [Line Items]
Anti-dilutive options excluded from the computation of diluted earnings per share (in shares)	0	362	51	956
Stock option
Antidilutive Securities Excluded from Computation of Earnings Per Share [Line Items]
Anti-dilutive options excluded from the computation of diluted earnings per share (in shares)		2,600		2,700
Minimum exercise price range (in dollars per share)		$ 45.75		$ 36.55
Maximum exercise price range (in dollars per share)		$ 86.34		$ 86.34

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Earnings Per Common Share - Computation of Basic and Diluted Earnings Per Common Share (Details) - USD ($) $ / shares in Units, shares in Millions, $ in Millions	3 Months Ended		6 Months Ended
	Jun. 30, 2021	Jun. 30, 2020	Jun. 30, 2021	Jun. 30, 2020
Antidilutive Securities Excluded from Computation of Earnings Per Share [Line Items]
Income (loss) from continuing operations, net of tax	$ 3,537	$ (917)	$ 6,864	$ (2,257)
Loss from discontinued operations, net of tax	(1)	(1)	(3)	(1)
Net income (loss)	3,536	(918)	6,861	(2,258)
Dividends and undistributed earnings allocated to participating securities	(30)	(1)	(58)	(4)
Preferred stock dividends	(60)	(90)	(121)	(145)
Issuance cost for redeemed preferred stock	0	0	0	(22)
Net income (loss) available to common stockholders	$ 3,446	$ (1,009)	$ 6,682	$ (2,429)
Total weighted-average basic common shares outstanding	450.6	456.7	454.6	457.1
Effect of dilutive securities:
Stock options	0.8	0.0	0.8	0.0
Other contingently issuable shares	0.9	0.0	0.8	0.0
Total effect of dilutive securities	1.7	0.0	1.6	0.0
Total weighted-average diluted common shares outstanding	452.3	456.7	456.2	457.1
Basic earnings per common share:
Net income (loss) from continuing operations (in dollars per share)	$ 7.65	$ (2.21)	$ 14.70	$ (5.31)
Net income (loss) per basic common share (in dollars per share)	7.65	(2.21)	14.70	(5.31)
Diluted earnings per common share:
Net income (loss) from continuing operations (in dollars per share)	7.62	(2.21)	14.65	(5.31)
Net income (loss) per diluted common share (in dollars per share)	$ 7.62	$ (2.21)	$ 14.65	$ (5.31)

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Fair Value Measurement - Additional Information (Details) - Non-Recoverable Rate - Level 3 - Appraisal value	Jun. 30, 2021	Dec. 31, 2020
Minimum
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Loans held for investment, measurement input	0.00%	0.00%
Maximum
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Loans held for investment, measurement input	100.00%	89.00%
Weighted average
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Loans held for investment, measurement input	23.00%	14.00%

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Fair Value Measurement - Assets and Liabilities Measured at Fair Value on Recurring Basis (Details) - USD ($) $ in Millions	6 Months Ended	12 Months Ended
	Jun. 30, 2021	Dec. 31, 2020	Jun. 30, 2020
Assets:
Securities available for sale (amortized cost of $100.3 billion and $97.6 billion and allowance for credit losses of $1 million as of both June 30, 2021 and December 31, 2020)	$ 101,766	$ 100,445
Loans held for sale	371	596
Derivative assets, gross amount	3,716	3,415
Derivative asset, netting adjustments	(964)	(1,148)
Derivative asset	2,752	2,267
Liabilities:
Derivative liabilities, gross amount	2,410	1,518
Derivative liability, netting adjustments	(850)	(739)
Derivative liability	1,560	779
Net valuation allowance	23	31
Level 1
Assets:
Loans held for sale	0	0
Level 2
Assets:
Loans held for sale	6,385	2,214
Level 3
Assets:
Loans held for sale	0	0
Recurring
Assets:
Securities available for sale (amortized cost of $100.3 billion and $97.6 billion and allowance for credit losses of $1 million as of both June 30, 2021 and December 31, 2020)	101,766	100,445
Loans held for sale	371	596
Derivative asset	2,752	2,267
Other assets	544	1,037
Total assets	105,433	104,345
Liabilities:
Derivative liability	1,560	779
Recurring | Level 1
Assets:
Securities available for sale (amortized cost of $100.3 billion and $97.6 billion and allowance for credit losses of $1 million as of both June 30, 2021 and December 31, 2020)	9,402	9,460
Loans held for sale	0	0
Derivative assets, gross amount	602	268
Other assets	496	430
Total assets	10,500	10,158
Other assets:
Deferred compensation plan assets	472	414
Liabilities:
Derivative liabilities, gross amount	1,144	271
Recurring | Level 2
Assets:
Securities available for sale (amortized cost of $100.3 billion and $97.6 billion and allowance for credit losses of $1 million as of both June 30, 2021 and December 31, 2020)	92,066	90,546
Loans held for sale	371	596
Derivative assets, gross amount	2,985	3,006
Other assets	2	552
Total assets	95,424	94,700
Liabilities:
Derivative liabilities, gross amount	1,156	1,137
Recurring | Level 3
Assets:
Securities available for sale (amortized cost of $100.3 billion and $97.6 billion and allowance for credit losses of $1 million as of both June 30, 2021 and December 31, 2020)	298	439
Loans held for sale	0	0
Derivative assets, gross amount	129	141	$ 151
Other assets	46	55
Total assets	473	635
Other assets:
Retained interests in securitizations	46	55
Liabilities:
Derivative liabilities, gross amount	110	110	$ 117
Recurring | Fair Value Inputs Level 1 And Level 2 [Member]
Other assets:
Equity securities	26	568
Liabilities:
Debt and Equity Securities, Unrealized Gain (Loss)	24	535
U.S. Treasury securities
Assets:
Securities available for sale (amortized cost of $100.3 billion and $97.6 billion and allowance for credit losses of $1 million as of both June 30, 2021 and December 31, 2020)	9,231	9,318
U.S. Treasury securities | Recurring
Assets:
Securities available for sale (amortized cost of $100.3 billion and $97.6 billion and allowance for credit losses of $1 million as of both June 30, 2021 and December 31, 2020)	9,231	9,318
U.S. Treasury securities | Recurring | Level 1
Assets:
Securities available for sale (amortized cost of $100.3 billion and $97.6 billion and allowance for credit losses of $1 million as of both June 30, 2021 and December 31, 2020)	9,231	9,318
U.S. Treasury securities | Recurring | Level 2
Assets:
Securities available for sale (amortized cost of $100.3 billion and $97.6 billion and allowance for credit losses of $1 million as of both June 30, 2021 and December 31, 2020)	0	0
U.S. Treasury securities | Recurring | Level 3
Assets:
Securities available for sale (amortized cost of $100.3 billion and $97.6 billion and allowance for credit losses of $1 million as of both June 30, 2021 and December 31, 2020)	0	0
RMBS
Assets:
Securities available for sale (amortized cost of $100.3 billion and $97.6 billion and allowance for credit losses of $1 million as of both June 30, 2021 and December 31, 2020)	78,322	76,703
RMBS | Recurring
Assets:
Securities available for sale (amortized cost of $100.3 billion and $97.6 billion and allowance for credit losses of $1 million as of both June 30, 2021 and December 31, 2020)	78,322	76,703
RMBS | Recurring | Level 1
Assets:
Securities available for sale (amortized cost of $100.3 billion and $97.6 billion and allowance for credit losses of $1 million as of both June 30, 2021 and December 31, 2020)	0	0
RMBS | Recurring | Level 2
Assets:
Securities available for sale (amortized cost of $100.3 billion and $97.6 billion and allowance for credit losses of $1 million as of both June 30, 2021 and December 31, 2020)	78,033	76,375
RMBS | Recurring | Level 3
Assets:
Securities available for sale (amortized cost of $100.3 billion and $97.6 billion and allowance for credit losses of $1 million as of both June 30, 2021 and December 31, 2020)	289	328
CMBS | Recurring
Assets:
Securities available for sale (amortized cost of $100.3 billion and $97.6 billion and allowance for credit losses of $1 million as of both June 30, 2021 and December 31, 2020)	11,087	11,735
CMBS | Recurring | Level 1
Assets:
Securities available for sale (amortized cost of $100.3 billion and $97.6 billion and allowance for credit losses of $1 million as of both June 30, 2021 and December 31, 2020)	0	0
CMBS | Recurring | Level 2
Assets:
Securities available for sale (amortized cost of $100.3 billion and $97.6 billion and allowance for credit losses of $1 million as of both June 30, 2021 and December 31, 2020)	11,078	11,624
CMBS | Recurring | Level 3
Assets:
Securities available for sale (amortized cost of $100.3 billion and $97.6 billion and allowance for credit losses of $1 million as of both June 30, 2021 and December 31, 2020)	9	111
Other securities
Assets:
Securities available for sale (amortized cost of $100.3 billion and $97.6 billion and allowance for credit losses of $1 million as of both June 30, 2021 and December 31, 2020)	3,126	2,689
Other securities | Recurring
Assets:
Securities available for sale (amortized cost of $100.3 billion and $97.6 billion and allowance for credit losses of $1 million as of both June 30, 2021 and December 31, 2020)	3,126	2,689
Other securities | Recurring | Level 1
Assets:
Securities available for sale (amortized cost of $100.3 billion and $97.6 billion and allowance for credit losses of $1 million as of both June 30, 2021 and December 31, 2020)	171	142
Other securities | Recurring | Level 2
Assets:
Securities available for sale (amortized cost of $100.3 billion and $97.6 billion and allowance for credit losses of $1 million as of both June 30, 2021 and December 31, 2020)	2,955	2,547
Other securities | Recurring | Level 3
Assets:
Securities available for sale (amortized cost of $100.3 billion and $97.6 billion and allowance for credit losses of $1 million as of both June 30, 2021 and December 31, 2020)	$ 0	$ 0

XML

Fair Value Measurement - Level 3 Recurring Fair Value Rollforward (Details) - USD ($) $ in Millions	3 Months Ended		6 Months Ended
	Jun. 30, 2021	Jun. 30, 2020	Jun. 30, 2021	Jun. 30, 2020	Dec. 31, 2020	Jan. 01, 2020
Derivative, Fair Value, Net [Abstract]
Fair value of RMBS, cumulative effects from the CECL adoption						$ 4
Derivative assets, gross amount	$ 3,716		$ 3,716		$ 3,415
Derivative liabilities, gross amount	2,410		2,410		1,518
Recurring | Level 3
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]
Net Unrealized Gains (Losses) Included in OCI Related to Assets and Liabilities Still Held	(1)	$ 36	2	$ (23)
Derivative, Fair Value, Net [Abstract]
Beginning balance	34	66	31	26
Total Gains or (Losses) (Realized/Unrealized), Included in Net Income	11	(8)	(10)	12
Total Gains or (Losses) (Realized/Unrealized), Included in OCI	0	0	0	0
Purchases	0	0	0	0
Sales	0	0	0	0
Issuances	(16)	2	22	26
Settlements	(15)	(26)	(29)	(28)
Transfers Into Level 3	6	0	6	0
Transfers Out of Level 3	(1)	0	(1)	(2)
Ending balance	19	34	19	34
Derivative assets, gross amount	129	151	129	151	141
Derivative liabilities, gross amount	110	117	110	117	$ 110
RMBS | Recurring | Level 3
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]
Beginning balance	326	373	328	433
Total Gains or (Losses) (Realized/Unrealized), Included in Net Income	4	6	11	9
Total Gains or (Losses) (Realized/Unrealized), Included in OCI	2	29	4	(24)
Purchases	0	0	0	0
Sales	0	0	0	0
Issuances	0	0	0	0
Settlements	(25)	(16)	(51)	(33)
Transfers Into Level 3	45	131	84	140
Transfers Out of Level 3	(63)	(49)	(87)	(51)
Ending balance	289	474	289	474
Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held	4	7	8	10
CMBS | Recurring | Level 3
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]
Beginning balance	10	36	111	13
Total Gains or (Losses) (Realized/Unrealized), Included in Net Income	0	0	0	0
Total Gains or (Losses) (Realized/Unrealized), Included in OCI	0	(1)	(2)	(1)
Purchases	0	0	0	0
Sales	0	0	0	0
Issuances	0	0	0	0
Settlements	0	(3)	(6)	(3)
Transfers Into Level 3	0	250	0	273
Transfers Out of Level 3	(1)	0	(94)	0
Ending balance	9	282	9	282
Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held	0	(3)	0	(3)
Available-for-sale securities | Recurring | Level 3
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]
Beginning balance	336	409	439	446
Total Gains or (Losses) (Realized/Unrealized), Included in Net Income	4	6	11	9
Total Gains or (Losses) (Realized/Unrealized), Included in OCI	2	28	2	(25)
Purchases	0	0	0	0
Sales	0	0	0	0
Issuances	0	0	0	0
Settlements	(25)	(19)	(57)	(36)
Transfers Into Level 3	45	381	84	413
Transfers Out of Level 3	(64)	(49)	(181)	(51)
Ending balance	298	756	298	756
Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held	4	4	8	7
Retained interest in securitizations | Recurring | Level 3
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]
Beginning balance	50	59	55	66
Total Gains or (Losses) (Realized/Unrealized), Included in Net Income	(4)	(3)	(9)	(10)
Total Gains or (Losses) (Realized/Unrealized), Included in OCI	0	0	0	0
Purchases	0	0	0	0
Sales	0	0	0	0
Issuances	0	0	0	0
Settlements	0	0	0	0
Transfers Into Level 3	0	0	0	0
Transfers Out of Level 3	0	0	0	0
Ending balance	46	56	46	56
Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held	(4)	(3)	(9)	(10)
Net derivative assets (liabilities) | Recurring | Level 3
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]
Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held	$ 11	$ 0	$ 8	$ 18

XML

Fair Value Measurement - Quantitative Information about Level 3 Fair Value Measurements (Details) $ in Millions	6 Months Ended	12 Months Ended
	Jun. 30, 2021 USD ($)	Dec. 31, 2020 USD ($)	Mar. 31, 2021 USD ($)	Jun. 30, 2020 USD ($)	Mar. 31, 2020 USD ($)	Dec. 31, 2019 USD ($)
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Securities available for sale (amortized cost of $100.3 billion and $97.6 billion and allowance for credit losses of $1 million as of both June 30, 2021 and December 31, 2020)	$ 101,766	$ 100,445
Recurring
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Securities available for sale (amortized cost of $100.3 billion and $97.6 billion and allowance for credit losses of $1 million as of both June 30, 2021 and December 31, 2020)	101,766	100,445
Recurring | Level 3
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Securities available for sale (amortized cost of $100.3 billion and $97.6 billion and allowance for credit losses of $1 million as of both June 30, 2021 and December 31, 2020)	298	439
Retained interests in securitizations	46	55
Net derivative assets (liabilities)	19	31	$ 34	$ 34	$ 66	$ 26
RMBS
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Securities available for sale (amortized cost of $100.3 billion and $97.6 billion and allowance for credit losses of $1 million as of both June 30, 2021 and December 31, 2020)	78,322	76,703
RMBS | Recurring
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Securities available for sale (amortized cost of $100.3 billion and $97.6 billion and allowance for credit losses of $1 million as of both June 30, 2021 and December 31, 2020)	78,322	76,703
RMBS | Recurring | Level 3
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Securities available for sale (amortized cost of $100.3 billion and $97.6 billion and allowance for credit losses of $1 million as of both June 30, 2021 and December 31, 2020)	289	328
CMBS | Recurring
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Securities available for sale (amortized cost of $100.3 billion and $97.6 billion and allowance for credit losses of $1 million as of both June 30, 2021 and December 31, 2020)	11,087	11,735
CMBS | Recurring | Level 3
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Securities available for sale (amortized cost of $100.3 billion and $97.6 billion and allowance for credit losses of $1 million as of both June 30, 2021 and December 31, 2020)	$ 9	$ 111
Yield | RMBS | Recurring | Level 3 | Discounted cash flows | Minimum
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Securities available-for-sale, measurement input	0.01	0.02
Yield | RMBS | Recurring | Level 3 | Discounted cash flows | Maximum
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Securities available-for-sale, measurement input	0.19	0.12
Yield | RMBS | Recurring | Level 3 | Discounted cash flows | Weighted average
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Securities available-for-sale, measurement input	0.03	0.03
Yield | CMBS | Recurring | Level 3 | Discounted cash flows | Minimum
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Securities available-for-sale, measurement input	0	0.01
Yield | CMBS | Recurring | Level 3 | Discounted cash flows | Maximum
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Securities available-for-sale, measurement input	0.02	0.03
Yield | CMBS | Recurring | Level 3 | Discounted cash flows | Weighted average
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Securities available-for-sale, measurement input	0.01	0.02
Voluntary prepayment rate | Recurring | Level 3 | Discounted cash flows | Minimum
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Retained interests, measurement input	0.09	0.03
Voluntary prepayment rate | Recurring | Level 3 | Discounted cash flows | Maximum
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Retained interests, measurement input	0.15	0.13
Voluntary prepayment rate | RMBS | Recurring | Level 3 | Discounted cash flows | Minimum
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Securities available-for-sale, measurement input	0.05	0.08
Voluntary prepayment rate | RMBS | Recurring | Level 3 | Discounted cash flows | Maximum
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Securities available-for-sale, measurement input	0.20	0.15
Voluntary prepayment rate | RMBS | Recurring | Level 3 | Discounted cash flows | Weighted average
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Securities available-for-sale, measurement input	0.11	0.10
Default rate | Recurring | Level 3 | Discounted cash flows | Minimum
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Retained interests, measurement input	0.02	0.03
Default rate | Recurring | Level 3 | Discounted cash flows | Maximum
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Retained interests, measurement input	0.04	0.03
Default rate | RMBS | Recurring | Level 3 | Discounted cash flows | Minimum
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Securities available-for-sale, measurement input	0.01	0
Default rate | RMBS | Recurring | Level 3 | Discounted cash flows | Maximum
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Securities available-for-sale, measurement input	0.11	0.11
Default rate | RMBS | Recurring | Level 3 | Discounted cash flows | Weighted average
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Securities available-for-sale, measurement input	0.02	0.02
Loss severity | Recurring | Level 3 | Discounted cash flows | Minimum
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Retained interests, measurement input	0.55	0.55
Loss severity | Recurring | Level 3 | Discounted cash flows | Maximum
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Retained interests, measurement input	1.51	0.70
Loss severity | RMBS | Recurring | Level 3 | Discounted cash flows | Minimum
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Securities available-for-sale, measurement input	0.30	0.30
Loss severity | RMBS | Recurring | Level 3 | Discounted cash flows | Maximum
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Securities available-for-sale, measurement input	1	1
Loss severity | RMBS | Recurring | Level 3 | Discounted cash flows | Weighted average
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Securities available-for-sale, measurement input	0.68	0.73
Life of receivables (months) | Recurring | Level 3 | Discounted cash flows | Minimum
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Retained interests, measurement input, life of receivables	33 months	37 months
Life of receivables (months) | Recurring | Level 3 | Discounted cash flows | Maximum
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Retained interests, measurement input, life of receivables	40 months	52 months
Discount rate | Recurring | Level 3 | Discounted cash flows | Minimum
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Retained interests, measurement input	0.02	0.02
Discount rate | Recurring | Level 3 | Discounted cash flows | Maximum
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Retained interests, measurement input	0.11	0.12
Swap rates | Recurring | Level 3 | Discounted cash flows | Minimum
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Net derivative assets (liabilities), measurement input	0.01	0.01
Swap rates | Recurring | Level 3 | Discounted cash flows | Maximum
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Net derivative assets (liabilities), measurement input	0.02	0.01
Swap rates | Recurring | Level 3 | Discounted cash flows | Weighted average
Fair Value Measurement Inputs and Valuation Techniques [Line Items]
Net derivative assets (liabilities), measurement input	0.01	0.01

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Fair Value Measurement - Nonrecurring Fair Value Measurements (Details) - USD ($) $ in Millions	Jun. 30, 2021	Dec. 31, 2020
Level 2
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Net loans held for investment	$ 0	$ 0
Level 3
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Net loans held for investment	242,812	244,701
Nonrecurring
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Net loans held for investment	204	305
Other assets	177	175
Total assets	381	480
Nonrecurring | Level 2
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Net loans held for investment	0	0
Other assets	0	0
Total assets	0	0
Nonrecurring | Level 3
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Net loans held for investment	204	305
Other assets	177	175
Total assets	381	480
Equity investments subject to Impairment	56
Equity investments accounted for under measurement alternative	13	25
Foreclosed property and repossessed assets, fair value disclosure	31	42
Long lived assets held for sale	$ 77	$ 108

XML

Fair Value Measurement - Nonrecurring Fair Value Measurements Included in Earnings (Details) - Nonrecurring - USD ($) $ in Millions	6 Months Ended
	Jun. 30, 2021	Jun. 30, 2020
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Loans held for investment	$ (97)	$ (253)
Other assets	(61)	(22)
Total	$ (158)	$ (275)

XML

Fair Value Measurement - Fair Value of Financial Instruments (Details) - USD ($) $ in Millions	Jun. 30, 2021	Dec. 31, 2020
Financial assets:
Loans held for sale	$ 371	$ 596
Level 1
Financial assets:
Cash and cash equivalents	5,312	4,708
Restricted cash for securitization investors	242	262
Net loans held for investment	0	0
Loans held for sale	0	0
Interest receivable	0	0
Other investments	0	0
Financial liabilities:
Deposits with defined maturities	0	0
Securitized debt obligations	0	0
Senior and subordinated notes	0	0
Federal funds purchased and securities loaned or sold under agreements to repurchase	0	0
Interest payable	0	0
Level 2
Financial assets:
Cash and cash equivalents	29,534	35,801
Restricted cash for securitization investors	0	0
Net loans held for investment	0	0
Loans held for sale	6,385	2,214
Interest receivable	1,372	1,471
Other investments	1,344	1,341
Financial liabilities:
Deposits with defined maturities	22,469	33,111
Securitized debt obligations	10,717	12,584
Senior and subordinated notes	25,724	28,282
Federal funds purchased and securities loaned or sold under agreements to repurchase	845	668
Interest payable	301	352
Level 3
Financial assets:
Cash and cash equivalents	0	0
Restricted cash for securitization investors	0	0
Net loans held for investment	242,812	244,701
Loans held for sale	0	0
Interest receivable	0	0
Other investments	0	0
Financial liabilities:
Deposits with defined maturities	0	0
Securitized debt obligations	0	0
Senior and subordinated notes	0	0
Federal funds purchased and securities loaned or sold under agreements to repurchase	0	0
Interest payable	0	0
Carrying Value
Financial assets:
Cash and cash equivalents	34,846	40,509
Restricted cash for securitization investors	242	262
Net loans held for investment	237,251	236,060
Loans held for sale	6,151	2,114
Interest receivable	1,372	1,471
Other investments	1,344	1,341
Financial liabilities:
Deposits with defined maturities	22,225	32,746
Securitized debt obligations	10,561	12,414
Senior and subordinated notes	24,878	27,382
Federal funds purchased and securities loaned or sold under agreements to repurchase	845	668
Interest payable	301	352
Estimated Fair Value
Financial assets:
Cash and cash equivalents	34,846	40,509
Restricted cash for securitization investors	242	262
Net loans held for investment	242,812	244,701
Loans held for sale	6,385	2,214
Interest receivable	1,372	1,471
Other investments	1,344	1,341
Financial liabilities:
Deposits with defined maturities	22,469	33,111
Securitized debt obligations	10,717	12,584
Senior and subordinated notes	25,724	28,282
Federal funds purchased and securities loaned or sold under agreements to repurchase	845	668
Interest payable	$ 301	$ 352

XML

Business Segments and Revenue from Contracts with Customers - Additional Information (Details)	6 Months Ended
	Jun. 30, 2021 segment
Segment Reporting Information [Line Items]
Number of operating segments	3

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Business Segments and Revenue from Contracts with Customers - Segment Results and Reconciliation (Details) - USD ($) $ in Millions	3 Months Ended		6 Months Ended
	Jun. 30, 2021	Jun. 30, 2020	Jun. 30, 2021	Jun. 30, 2020	Dec. 31, 2020
Segment Reporting Information [Line Items]
Net interest income (loss)	$ 5,743	$ 5,460	$ 11,565	$ 11,485
Non-interest income (loss)	1,631	1,096	2,922	2,320
Total net revenue (loss)	7,374	6,556	14,487	13,805
Provision (benefit) for credit losses	(1,160)	4,246	(1,983)	9,669
Non-interest expense	3,966	3,770	7,706	7,499
Income (loss) from continuing operations before income taxes	4,568	(1,460)	8,764	(3,363)
Income tax provision (benefit)	1,031	(543)	1,900	(1,106)
Income (loss) from continuing operations, net of tax	3,537	(917)	6,864	(2,257)
Income (loss) from continuing operations before income taxes	249,597	251,512	249,597	251,512	$ 251,624
Total Deposits	306,308	304,238	306,308	304,238	$ 305,442
Uncollectible portion of billed finance charges and fees	175	318	355	707
Operating segments | Credit Card
Segment Reporting Information [Line Items]
Net interest income (loss)	3,217	3,369	6,589	7,071
Non-interest income (loss)	1,253	845	2,282	1,756
Total net revenue (loss)	4,470	4,214	8,871	8,827
Provision (benefit) for credit losses	(635)	2,944	(1,127)	6,646
Non-interest expense	2,263	1,969	4,398	4,177
Income (loss) from continuing operations before income taxes	2,842	(699)	5,600	(1,996)
Income tax provision (benefit)	672	(166)	1,325	(472)
Income (loss) from continuing operations, net of tax	2,170	(533)	4,275	(1,524)
Income (loss) from continuing operations before income taxes	101,017	107,310	101,017	107,310
Total Deposits	0	0	0	0
Operating segments | Consumer Banking
Segment Reporting Information [Line Items]
Net interest income (loss)	2,101	1,665	4,131	3,322
Non-interest income (loss)	144	97	285	223
Total net revenue (loss)	2,245	1,762	4,416	3,545
Provision (benefit) for credit losses	(306)	876	(432)	1,736
Non-interest expense	1,123	1,036	2,240	2,027
Income (loss) from continuing operations before income taxes	1,428	(150)	2,608	(218)
Income tax provision (benefit)	337	(36)	615	(52)
Income (loss) from continuing operations, net of tax	1,091	(114)	1,993	(166)
Income (loss) from continuing operations before income taxes	74,759	66,712	74,759	66,712
Total Deposits	251,155	246,804	251,155	246,804
Operating segments | Commercial Banking
Segment Reporting Information [Line Items]
Net interest income (loss)	460	518	980	1,009
Non-interest income (loss)	257	180	497	418
Total net revenue (loss)	717	698	1,477	1,427
Provision (benefit) for credit losses	(219)	427	(422)	1,283
Non-interest expense	417	425	836	837
Income (loss) from continuing operations before income taxes	519	(154)	1,063	(693)
Income tax provision (benefit)	123	(36)	251	(164)
Income (loss) from continuing operations, net of tax	396	(118)	812	(529)
Income (loss) from continuing operations before income taxes	73,821	77,490	73,821	77,490
Total Deposits	42,973	35,669	42,973	35,669
Other
Segment Reporting Information [Line Items]
Net interest income (loss)	(35)	(92)	(135)	83
Non-interest income (loss)	(23)	(26)	(142)	(77)
Total net revenue (loss)	(58)	(118)	(277)	6
Provision (benefit) for credit losses	0	(1)	(2)	4
Non-interest expense	163	340	232	458
Income (loss) from continuing operations before income taxes	(221)	(457)	(507)	(456)
Income tax provision (benefit)	(101)	(305)	(291)	(418)
Income (loss) from continuing operations, net of tax	(120)	(152)	(216)	(38)
Income (loss) from continuing operations before income taxes	0	0	0	0
Total Deposits	$ 12,180	$ 21,765	$ 12,180	$ 21,765

XML

Business Segments and Revenue from Contracts with Customers - Revenue from Contracts with Customers (Details) - USD ($) $ in Millions	3 Months Ended		6 Months Ended
	Jun. 30, 2021	Jun. 30, 2020	Jun. 30, 2021	Jun. 30, 2020
Disaggregation of Revenue [Line Items]
Total contract revenue	$ 1,241	$ 805	$ 2,242	$ 1,742
Revenue (reduction) from other sources	390	291	680	578
Non-interest income (loss)	1,631	1,096	2,922	2,320
Operating segments | Credit Card
Disaggregation of Revenue [Line Items]
Total contract revenue	1,019	669	1,832	1,427
Revenue (reduction) from other sources	234	176	450	329
Non-interest income (loss)	1,253	845	2,282	1,756
Operating segments | Consumer Banking
Disaggregation of Revenue [Line Items]
Total contract revenue	131	82	251	215
Revenue (reduction) from other sources	13	15	34	8
Non-interest income (loss)	144	97	285	223
Operating segments | Commercial Banking
Disaggregation of Revenue [Line Items]
Total contract revenue	91	56	159	103
Revenue (reduction) from other sources	166	124	338	315
Non-interest income (loss)	257	180	497	418
Other
Disaggregation of Revenue [Line Items]
Total contract revenue	0	(2)	0	(3)
Revenue (reduction) from other sources	(23)	(24)	(142)	(74)
Non-interest income (loss)	(23)	(26)	(142)	(77)
Interchange fees, net
Disaggregation of Revenue [Line Items]
Total contract revenue	1,016	672	1,833	1,424
Interchange fees, net | Operating segments | Credit Card
Disaggregation of Revenue [Line Items]
Total contract revenue	925	612	1,668	1,300
Interchange fees, net | Operating segments | Consumer Banking
Disaggregation of Revenue [Line Items]
Total contract revenue	67	48	124	98
Interchange fees, net | Operating segments | Commercial Banking
Disaggregation of Revenue [Line Items]
Total contract revenue	24	13	41	28
Interchange fees, net | Other
Disaggregation of Revenue [Line Items]
Total contract revenue	0	(1)	0	(2)
Service charges and other customer-related fees
Disaggregation of Revenue [Line Items]
Total contract revenue	111	73	205	168
Service charges and other customer-related fees | Operating segments | Credit Card
Disaggregation of Revenue [Line Items]
Total contract revenue	0	0	0	0
Service charges and other customer-related fees | Operating segments | Consumer Banking
Disaggregation of Revenue [Line Items]
Total contract revenue	45	31	89	95
Service charges and other customer-related fees | Operating segments | Commercial Banking
Disaggregation of Revenue [Line Items]
Total contract revenue	66	43	116	74
Service charges and other customer-related fees | Other
Disaggregation of Revenue [Line Items]
Total contract revenue	0	(1)	0	(1)
Other
Disaggregation of Revenue [Line Items]
Total contract revenue	114	60	204	150
Other | Operating segments | Credit Card
Disaggregation of Revenue [Line Items]
Total contract revenue	94	57	164	127
Other | Operating segments | Consumer Banking
Disaggregation of Revenue [Line Items]
Total contract revenue	19	3	38	22
Other | Operating segments | Commercial Banking
Disaggregation of Revenue [Line Items]
Total contract revenue	1	0	2	1
Other | Other
Disaggregation of Revenue [Line Items]
Total contract revenue	$ 0	$ 0	$ 0	$ 0

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Commitments, Contingencies, Guarantees, and Others - Unfunded Lending Commitments: Contractual Amount and Carrying Value (Details) - USD ($) $ in Millions	Jun. 30, 2021	Dec. 31, 2020
Loss Contingencies [Line Items]
Unfunded lending commitments, contractual amount	$ 394,310	$ 386,732
Off-balance sheet lending commitment, carrying value	147	176
Credit Card
Loss Contingencies [Line Items]
Unused commitments to extend credit, contractual amount	354,098	349,594
Other excluding credit card
Loss Contingencies [Line Items]
Unused commitments to extend credit, contractual amount	38,922	35,836
Off-balance sheet lending commitment, carrying value	120	144
Advised line of credit	2,600	1,800
Letter of credit
Loss Contingencies [Line Items]
Standby letters of credit and commercial letters of credit, contractual amount	1,290	1,302
Off-balance sheet lending commitment, carrying value	$ 27	$ 32

XML

Commitments, Contingencies, Guarantees, and Others - Loss Sharing and UK PPI (Details) - USD ($) $ in Millions	Jun. 30, 2021	Dec. 31, 2020
Loss sharing agreements
Loss Contingencies [Line Items]
Guarantee obligation	$ 93	$ 97

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Commitments, Contingencies, Guarantees, and Others - Litigation (Details) $ in Millions	6 Months Ended
	Jun. 30, 2021 USD ($) claim
Loss Contingencies [Line Items]
Loss contingency, estimate of possible loss | $	$ 250
Cybersecurity Incident
Loss Contingencies [Line Items]
Number of consumer class action cases filed for Cybersecurity Incident	74
Number of consumer class action cases currently pending for cybersecurity incident	29
Penalty Paid to the US Treasury | $	$ 80
Pending litigation | Interchange litigation
Loss Contingencies [Line Items]
Litigation settlement, attributable to reporting entity and third party | $	$ 5,500
United States | Cybersecurity Incident
Loss Contingencies [Line Items]
Number of consumer class action cases filed for Cybersecurity Incident	61
Canada | Cybersecurity Incident
Loss Contingencies [Line Items]
Number of consumer class action cases filed for Cybersecurity Incident	13