CAPITAL ONE FINANCIAL CORP

Table 2 below presents the average outstanding balance, interest income earned, interest expense incurred and average yield for the third quarter and first nine months of 2024 and 2023 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

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

(2)Past due fees, net of reversals, included in interest income totaled approximately $626 million and $1.7 billion in the third quarter and first nine months of 2024, respectively, and $593 million and $1.6 billion in the third quarter and first nine months of 2023, respectively.

(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. Taxable-equivalent adjustments included in the interest income and yield computations for our commercial loans totaled approximately $20 million and $59 million in the third quarter and first nine months of 2024, respectively, and $18 million and $55 million in the third quarter and first nine months of 2023, respectively, with corresponding reductions to the Other category.

(4)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.

(5)Includes amounts related to entities that provide capital to low-income and rural communities of $2.0 billion and $2.0 billion in the third quarter and first nine months of 2024, respectively, and $1.9 billion and $1.8 billion in the third quarter and first nine months of 2023, respectively. Related interest expense was $7 million and $23 million for the third quarter and first nine months of 2024, respectively, and $8 million and $24 million for the third quarter and first nine months of 2023, respectively.

(6) The Walmart Program Termination increased net interest margin by 22 bps and 11 bps in the third quarter and first nine months of 2024.

** Not meaningful.

Net interest income increased by $653 million to $8.1 billion in the third quarter of 2024 compared to the third quarter of 2023 primarily driven by higher average loan balances and margins in our credit card loan portfolio, including the impacts of the elimination of revenue sharing provisions due to the Walmart Program Termination. Net interest income increased by $1.4 billion to $23.1 billion in the first nine months of 2024 compared to the first nine months of 2023 primarily driven by higher average loan balances and margins in our credit card loan portfolio, including the impacts of the elimination of revenue sharing provisions due to the Walmart Program Termination, partially offset by higher rates paid on interest-bearing deposits.

Net interest margin increased by 42 bps to 7.11% in the third quarter of 2024 compared to the third quarter of 2023 and increased by 24 bps to 6.83% in the first nine months of 2024 compared to the first nine months of 2023 primarily driven by higher asset yields and growth in our credit card loan portfolio, partially offset by higher rates paid on interest-bearing deposits.

Our total company cumulative interest-bearing deposit beta was 62% as of June 30, 2024, prior to the Federal Reserve reducing the target federal funds rate during the third quarter of 2024, which marked the beginning of a new rate cycle.