Loss (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

[Table of Contents](#i6e014264141e49cfb6088f287bb6e6ad_13)

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|  |  | Nine Months Ended September 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 |  | $ | 1,078  |  |  | $ | 17,812  |  |  | $ | 48  |  |  | $ | (734) |  |  | $ | (89) |  |  | $ | (367) |  |  | $ | 598  |  |
| Fair value hedging relationships: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Interest rate and foreign exchange contracts: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Interest recognized on derivatives |  | $ | (75) |  |  | $ | 0  |  |  | $ | 0  |  |  | $ | 101  |  |  | $ | 93  |  |  | $ | 168  |  |  | $ | 0  |  |
| Gains (losses) recognized on derivatives |  | 130  |  |  | 0  |  |  | 0  |  |  | (117) |  |  | (154) |  |  | (408) |  |  | (79) |  |
| Gains (losses) recognized on hedged items(1) |  | (206) |  |  | 0  |  |  | 0  |  |  | 116  |  |  | 140  |  |  | 504  |  |  | 79  |  |
| Excluded component of fair value hedges(2) |  | 0  |  |  | 0  |  |  | 0  |  |  | 0  |  |  | 0  |  |  | (2) |  |  | 0  |  |
| Net income (expense) recognized on fair value hedges |  | $ | (151) |  |  | $ | 0  |  |  | $ | 0  |  |  | $ | 100  |  |  | $ | 79  |  |  | $ | 262  |  |  | $ | 0  |  |
| Cash flow hedging relationships:(3) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Interest rate contracts: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Realized gains reclassified from AOCI into net income |  | $ | 30  |  |  | $ | 700  |  |  | $ | 0  |  |  | $ | 0  |  |  | $ | 0  |  |  | $ | 0  |  |  | $ | 0  |  |
| Foreign exchange contracts: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Realized gains reclassified from AOCI into net income(4) |  | 0  |  |  | 0  |  |  | 1  |  |  | 0  |  |  | 0  |  |  | 0  |  |  | 1  |  |
| Net income (expense) recognized on cash flow hedges |  | $ | 30  |  |  | $ | 700  |  |  | $ | 1  |  |  | $ | 0  |  |  | $ | 0  |  |  | $ | 0  |  |  | $ | 1  |  |

\_\_\_\_\_\_\_\_\_(1)Includes amortization benefit of $23 million and $57 million for the three and nine months ended September 30, 2022, respectively, and amortization expense of $34 million and benefit of $10 million for the three and nine months ended September 30, 2021, 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 $79 million and $98 million for the three and nine months ended September 30, 2022, respectively, and a gain of $83 million and $245 million for the three and nine months ended September 30, 2021, 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 a net after-tax loss of $690 million recorded in AOCI as of September 30, 2022. This amount will offset the cash flows associated with hedged forecasted transactions. The maximum length of time over which forecasted transactions were hedged was approximately 5.5 years as of September 30, 2022. 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.  


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|  | 105 | Capital One Financial Corporation (COF) |


