Capital One Reports Second Quarter 2012 Net Income of $92 million, or $0.16 per share

Exhibit 99.2

Capital One Financial Corporation

Financial Supplement

       Second Quarter 2012 ^{(1) (2)}

    Table of Contents 

Page 

Capital One Financial Corporation Consolidated

Table   1: 

Financial & Statistical Summary―Consolidated

1

Table   2:

Notes to Consolidated Financial & Statistical Summary (Table 1)

2

Table   3:

Consolidated Statements of Income

3

Table   4:

Consolidated Balance Sheets

4

Table   5:

Average Balances, Net Interest Income and Net Interest Margin

5

Table   6:

Loan Information and Performance Statistics

6

Table   7:

Loan Information and Performance Statistics (Excluding Acquired Loans) ⁽³⁾

7

Business Segment Detail

Table   8:

Financial & Statistical Summary―Credit Card Business

8

Table   9:

Financial & Statistical Summary―Consumer Banking Business

9

Table 10:

Financial & Statistical Summary―Commercial Banking Business

10

Table 11:

Financial & Statistical Summary―Other and Total 

11

Table 12:

Notes to Loan and Business Segment Disclosures (Tables 6 — 11)

12

Other

Table 13:

Reconciliation of Non-GAAP Measures and Calculation of Regulatory Capital Measures

13

⁽¹⁾

The information contained in this Financial Supplement is preliminary and based on data available at the time of the earnings presentation, and investors should refer to our June 30, 2012 Quarterly Report on Form 10-Q once it is filed with the Securities and Exchange Commission. 

⁽²⁾

References to ING Direct refer to the business and assets acquired and liabilities assumed in the February 17, 2012 acquisition. References to HSBC refer to the May 1, 2012 transaction in which we acquired substantially all of HSBC's credit card and private-label credit card business in the United States ("HSBC U.S. card").

⁽³⁾

We use the term "acquired loans" to refer to a limited portion of the credit card loans acquired in the HSBC transaction and the substantial majority of loans acquired in the ING Direct and Chevy Chase Bank ("CCB") acquisitions, which were recorded at fair value at acquisition and subsequently accounted for based on estimated cash flows expected to be collected over the life of the loans ( formerly "SOP 03-3"). Because SOP 03-3 takes into consideration estimated credit losses expected to be realized over the life of the loans, including these loans in our credit quality metrics may have a material impact. We therefore present our credit quality metrics with and without acquired loans accounted for under SOP 03-3.

CAPITAL ONE FINANCIAL CORPORATION (COF)

Table 1:  Financial & Statistical Summary—Consolidated ⁽¹⁾

2012

2012

2011

(Dollars in millions, except per share data and as noted) (unaudited)

    Q2 ⁽²⁾⁽³⁾

    Q1 ⁽³⁾

Q2

Earnings

Net interest income

$      4,001

$    3,414

$            3,136

Non-interest income^{(4) (5)}

1,054

1,521

857

Total net revenue^{(5) (6)}

5,055

4,935

3,993

Provision for credit losses

1,677

573

343

Marketing expenses

334

321

329

Operating expenses⁽⁷⁾

2,808

2,183

1,926

Income from continuing operations before income taxes 

236

1,858

1,395

Income tax provision

43

353

450

Income from continuing operations, net of tax

193

1,505

945

Loss from discontinued operations, net of tax⁽⁴⁾

(100)

(102)

(34)

Net income

93

1,403

911

Dividends and undistributed earnings allocated to participating securities

(1)

(7)

—

Net income available to common stockholders

$             92

$     1,396

$               911

Common Share Statistics

Basic EPS: 

   Income from continuing operations, net of tax

$          0.33

$        2.94

$              2.07

   Loss from discontinued operations, net of tax

(0.17)

(0.20)

(0.07)

   Net income per common share 

$          0.16

$        2.74

$              2.00

Diluted EPS: 

   Income from continuing operations, net of tax

$          0.33

$        2.92

$              2.04

   Loss from discontinued operations, net of tax

(0.17)

(0.20)

(0.07)

   Net income per common share

$          0.16

$        2.72

$              1.97

Weighted average common shares outstanding (in millions):

   Basic EPS

577.7

508.7

455.6

   Diluted EPS

582.8

513.1

462.2

Common shares outstanding (period end, in millions)

580.7

580.2

459.4

Dividends per common share

$          0.05

$        0.05

$              0.05

Tangible book value per common share (period end)⁽⁸⁾

35.67

39.37

31.94

Balance Sheet (Period End)

Loans held for investment⁽⁹⁾

$    202,749

$  173,822

$        128,965

Interest-earning assets

264,331

265,398

174,323

Total assets

296,572

294,481

199,753

Interest-bearing deposits

193,859

197,254

109,278

Total deposits

213,931

216,528

126,117

Borrowings

35,874

32,885

37,735

Stockholders' equity

37,192

36,950

28,681

Balance Sheet (Quarterly Average Balances)

Average loans held for investment⁽⁹⁾

$    192,632

$  152,900

$        127,916

Average interest-earning assets

265,019

220,246

174,113

Average total assets

295,306

246,384

199,229

Average interest-bearing deposits

195,597

151,625

109,251

Average total deposits

214,914

170,259

125,834

Average borrowings

35,418

35,994

39,451

Average stockholders' equity

37,533

32,982

28,255

Performance Metrics

Net interest income growth (quarter over quarter) 

17

%

7

%

—

%

Non-interest income growth (quarter over quarter)

(31)

75

(9)

Total net revenue growth (quarter over quarter)

2

22

(2)

Total net revenue margin⁽¹⁰⁾

7.63

8.96

9.17

Net interest margin⁽¹¹⁾

6.04

6.20

7.20

Return on average assets⁽¹²⁾

0.26

2.44

1.90

Return on average total stockholders' equity⁽¹³⁾

2.06

18.25

13.38

Return on average tangible common equity⁽¹⁴⁾

3.53

31.60

26.57

Non-interest expense as a % of average loans held for investment⁽¹⁵⁾

6.52

6.55

7.05

Efficiency ratio⁽¹⁶⁾

62.16

50.74

56.47

Effective income tax rate

18.2

19.0

32.3

Full-time equivalent employees (in thousands), period end

37.4

34.2

28.2

Credit Quality Metrics⁽¹⁷⁾

Allowance for loan and lease losses 

$        4,998

$      4,060

$            4,488

Allowance as a % of loans held for investment 

2.47

%

2.34

%

3.48

%

Allowance as a % of loans held for investment (excluding acquired loans) 

3.08

3.08

3.62

Net charge-offs 

$           738

$         780

$               931

Net charge-off rate⁽¹⁸⁾

1.53

%

2.04

%

2.91

%

Net charge-off rate (excluding acquired loans)⁽¹⁸⁾

1.96

2.40

3.03

30+ day performing delinquency rate

2.06

2.23

2.90

30+ day performing delinquency rate (excluding acquired loans)

2.59

2.96

3.02

30+ day delinquency rate⁽¹⁹⁾ 

**

2.69

3.57

30+ day delinquency rate (excluding acquired loans)⁽¹⁹⁾ 

**

3.57

3.72

Capital Ratios ⁽²⁰⁾

Tier 1 common ratio⁽²¹⁾

9.9

%

11.9

%

9.4

%

Tier 1 risk-based capital ratio⁽²²⁾

11.6

13.9

11.8

Total risk-based capital ratio⁽²³⁾

14.0

16.5

15.0

Tangible common equity ("TCE") ratio⁽²⁴⁾

7.4

8.2

7.9

CAPITAL ONE FINANCIAL CORPORATION (COF)

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

⁽¹⁾

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

⁽²⁾

Results for Q2 2012 include the impact of the May 1, 2012 closing of the HSBC transaction, which resulted in the addition of approximately $28.2 billion in credit card receivables at closing.

⁽³⁾

Results for Q1 2012 and thereafter include the impact of the February 17, 2012 acquisition of ING Direct, which resulted in the addition of loans with a gross outstanding principal and interest balance of $40.4 billion and deposits of $84.4 billion at acquisition.

⁽⁴⁾

We recorded a provision for repurchase losses of $180 million in Q2 2012, $169 million in Q1 2012  and $37 million in Q2 2011. The majority of the provision for repurchase losses is generally included net of tax in discontinued operations, with the remaining amount included pre-tax in non-interest income. The mortgage representation and warranty reserve decreased to $1.0 billion as of June 30, 2012, from $1.1 billion as of March 31. The decrease was due to the settlement of claims in Q2 2012 totaling $280 million, which more than offset the provision expense of $180 million recorded for the quarter.

⁽⁵⁾

Includes a bargain purchase gain of $594 million recognized in earnings in Q1 2012 attributable to the February 17, 2012 acquisition of ING Direct. 

⁽⁶⁾

Total net revenue was reduced by $311 million in Q2 2012, $123 million in Q1 2012 and $112 million in Q2 2011, for the estimated uncollectible amount of billed finance charges and fees.

⁽⁷⁾

Includes merger-related expenses, including transaction costs, attributable to acquisitions of $133 million in Q2 2012 and $86 million in Q1 2012. Also includes core deposit intangible amortization expense of $51 million in Q2 2012, $46 million in Q1 2012 and $44 million in Q2 2011. 

⁽⁸⁾

Tangible book value per common share is a non-GAAP measure calculated based on tangible common equity divided by common shares outstanding. See "Table 13: Reconciliation of Non-GAAP Measures and Calculation of Regulatory Capital Measures" for the calculation of tangible common equity.

⁽⁹⁾

See Table 12 for information on acquired loans accounted for based on cash flows expected to be collected.

⁽¹⁰⁾

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

⁽¹¹⁾

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

⁽¹²⁾

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

⁽¹³⁾

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

⁽¹⁴⁾

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

⁽¹⁵⁾

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

⁽¹⁶⁾

Calculated based on non-interest expense, excluding goodwill impairment charges, for the period divided by total net revenue for the period. 

⁽¹⁷⁾

Loans acquired as part of the HSBC domestic card, ING Direct and Chevy Chase Bank acquisitions classified as held for investment are included in the denominator used in calculating the credit quality metrics.  We also present these metrics adjusted to exclude from the denominator acquired loans accounted for based on estimated expected cash flows to be collected (formerly SOP 03-3).  See "Table 7: Loan Information and Performance Statistics (Excluding Acquired Loans)" for additional information.

⁽¹⁸⁾

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

⁽¹⁹⁾

The 30+ day total delinquency rate as of the end of Q2 2012 will be provided in the June 30, 2012 Quarterly Report on Form 10-Q.

⁽²⁰⁾

Regulatory capital ratios as of the end of Q2 2012 are preliminary and therefore subject to change.

⁽²¹⁾

Tier 1 common ratio is a regulatory capital measure calculated based on Tier 1 common capital divided by risk-weighted assets. See "Table 13: Reconciliation of Non-GAAP Measures and Calculation of Regulatory Capital Measures" for the calculation of this ratio.

⁽²²⁾

Tier 1 risk-based capital ratio is a regulatory capital measure calculated based on Tier 1 capital divided by risk-weighted assets. See "Table 13: Reconciliation of Non-GAAP Measures and Calculation of Regulatory Capital Measures" for the calculation of this ratio.

⁽²³⁾

Total risk-based capital ratio is a regulatory capital measure calculated based on total risk-based capital divided by risk-weighted assets. See "Table 13: Reconciliation of Non-GAAP Measures and Calculation of Regulatory Capital Measures" for the calculation of this ratio.

⁽²⁴⁾

TCE ratio is a non-GAAP measure calculated based on tangible common equity divided by tangible assets. See "Table 13: Reconciliation of Non-GAAP Measures and Calculation of Regulatory Capital Measures" for the calculation of this ratio and non-GAAP reconciliation.

CAPITAL ONE FINANCIAL CORPORATION (COF)

Table 3:  Consolidated Statements of Income

Three Months Ended

Six Months Ended

(Dollars in millions, except per share data) (unaudited)

June 30,

2012

March 31,

2012

June 30,

2011

June 30,

2012

June 30,

2011

Interest income:

Loans held for investment, including past-due fees

$            4,255

$             3,655

$            3,367

$             7,910

$            6,784

Investment securities

335

298

313

633

629

Other

26

26

19

52

38

Total interest income

4,616

3,979

3,699

8,595

7,451

Interest expense:

Deposits

373

311

307

684

629

Securitized debt obligations

69

80

113

149

253

Senior and subordinated notes

87

88

63

175

127

Other borrowings

86

86

80

172

166

Total interest expense

615

565

563

1,180

1,175

Net interest income

4,001

3,414

3,136

7,415

6,276

Provision for credit losses

1,677

573

343

2,250

877

Net interest income after provision for credit losses

2,324

2,841

2,793

5,165

5,399

Non-interest income:

Service charges and other customer-related fees

539

415

460

954

985

Interchange fees, net

408

328

331

736

651

Net other-than-temporary impairment losses recognized in earnings

(13)

(14)

(6)

(27)

(9)

Bargain purchase gain ⁽¹⁾

—

594

—

594

—

Other

120

198

72

318

172

Total non-interest income

1,054

1,521

857

2,575

1,799

Non-interest expense:

Salaries and associate benefits

971

864

715

1,835

1,456

Marketing

334

321

329

655

605

Communications and data processing

203

172

162

375

326

Supplies and equipment

178

147

124

325

259

Occupancy

145

123

118

268

237

Merger-related expenses

133

86

—

219

—

Other

1,178

791

807

1,969

1,534

Total non-interest expense

3,142

2,504

2,255

5,646

4,417

Income from continuing operations before income taxes

236

1,858

1,395

2,094

2,781

Income tax provision

43

353

450

396

804

Income from continuing operations, net of tax

193

1,505

945

1,698

1,977

Loss from discontinued operations, net of tax

(100)

(102)

(34)

(202)

(50)

Net income

93

1,403

911

1,496

1,927

Dividends and undistributed earnings allocated to participating securities

(1)

(7)

—

(8)

—

Net income available to common stockholders

$                  92

$             1,396

$                911

$             1,488

$             1,927

Basic earnings per common share:

Income from continuing operations

$               0.33

$               2.94

$               2.07

$               3.11

$               4.35

Loss from discontinued operations

(0.17)

(0.20)

(0.07)

(0.37)

(0.11)

Net income per basic common share

$               0.16

$               2.74

$               2.00

$               2.74

$               4.24

Diluted earnings per common share:

Income from continuing operations

$               0.33

$               2.92

$               2.04

$               3.09

$               4.29

Loss from discontinued operations

(0.17)

(0.20)

(0.07)

(0.37)

(0.11)

Net income per basic common share

$               0.16

$               2.72

$               1.97

$               2.72

$               4.18

Weighted average common shares outstanding (in millions):

Basic EPS

577.7

508.7

455.6

543.3

454.9

Diluted EPS

582.8

513.1

462.2

548.0

461.3

Dividends paid per common share

$               0.05

$               0.05

$               0.05

$               0.10

$               0.10

⁽¹⁾

Represents the excess of the fair value of the net assets acquired in the ING Direct acquisition as of the acquisition date of February 17, 2012 over the consideration transferred.

CAPITAL ONE FINANCIAL CORPORATION (COF)

Table 4:  Consolidated Balance Sheets

June 30,

December 31,

June 30,

(Dollars in millions)(unaudited)

2012

2011

2011

Assets:

Cash and due from banks

$             2,297

$             2,097

$             1,954

Interest-bearing deposits with banks

3,352

3,399

4,037

Federal funds sold and securities purchased under agreements to resell

330

342

652

Cash and cash equivalents

5,979

5,838

6,643

Restricted cash for securitization investors

370

791

1,328

Securities available for sale, at fair value

55,289

38,759

39,474

Loans held for investment:

Unsecuritized loans held for investment

158,680

88,242

81,585

Restricted loans for securitization investors

44,069

47,650

47,380

Total loans held for investment

202,749

135,892

128,965

    Less: Allowance for loan and lease losses

(4,998)

(4,250)

(4,488)

Net loans held for investment

197,751

131,642

124,477

Loans held for sale, at lower-of-cost-or-fair-value

1,047

201

80

Accounts receivable from securitizations

96

94

106

Premises and equipment, net

3,556

2,748

2,754

Interest receivable

1,623

1,029

1,027

Goodwill

13,864

13,592

13,596

Other

16,997

11,325

10,268

Total assets

$         296,572

$         206,019

$         199,753

Liabilities:

Interest payable

$                462

$                466

$                469

Customer deposits:

Non-interest bearing deposits

20,072

18,281

16,839

Interest-bearing deposits

193,859

109,945

109,278

Total customer deposits

213,931

128,226

126,117

Securitized debt obligations

13,608

16,527

19,860

Other debt:

Federal funds purchased and securities loaned or sold under agreements to repurchase

1,101

1,464

2,575

Senior and subordinated notes

12,079

11,034

8,664

Other borrowings

9,086

10,536

6,636

Total other debt

22,266

23,034

17,875

Other liabilities

9,113

8,100

6,751

Total liabilities

259,380

176,353

171,072

Stockholders' equity:

Common stock

6

5

5

Paid-in capital, net

25,217

19,274

19,188

Retained earnings and accumulated other comprehensive income

15,255

13,631

12,729

Less:  Treasury stock, at cost

(3,286)

(3,244)

(3,241)

Total stockholders' equity

37,192

29,666

28,681

Total liabilities and stockholders' equity

$         296,572

$         206,019

$         199,753

CAPITAL ONE FINANCIAL CORPORATION (COF)

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

2012 Q2

2012 Q1

2011 Q2

(Dollars in millions)(unaudited)

Average

Balance

Interest Income/

Expense

Yield/ Rate

Average

Balance

Interest Income/

Expense

Yield/ Rate

Average

Balance

Interest Income/

Expense

Yield/ Rate

Interest-earning assets:

Loans held for investment

$  192,632

$  4,255

8.84

%

$  152,900

$  3,655

9.56

%

$  127,916

$  3,367

10.53

%

Investment securities 

56,972

335

2.35

50,543

298

2.36

40,381

313

3.10

Cash equivalents and other

15,415

26

0.67

16,803

26

0.62

5,846

19

1.30

Total interest-earning assets 

$  265,019

$  4,616

6.97

%

$  220,246

$  3,979

7.23

%

$  174,143

$  3,699

8.50

%

Interest-bearing liabilities:

Interest-bearing deposits

NOW accounts

$    35,783

$       56

0.63

%

$    24,912

$       34

0.55

%

$    13,186

$         9

0.27

%

Money market deposit accounts

108,401

190

0.70

76,362

131

0.69

45,527

99

0.87

Savings accounts

31,379

25

0.32

31,743

34

0.43

29,329

60

0.82

Other consumer time deposits

13,658

65

1.90

12,763

74

2.32

14,330

91

2.54

Public fund CD's of $100,000 or more

75

1

5.33

84

—

—

110

1

3.64

CD's of $100,000 or more

5,030

35

2.78

4,787

37

3.09

5,867

46

3.14

Foreign time deposits

1,271

1

0.31

974