Pros
The salary and benefits are generous, and there are some truly wonderful and very smart people who work there. As far as corporate jobs go, you don't get much better than Capital. Getting hired is very tough. I went on an endless series of interviews before finally getting the nod.
Cons
The pay is very good, and along with it comes very high expectations. Once you achieve manager or higher, expectations are commensurate with your salary. On the one hand, you can't blame them - they deserve to get their money's worth, and they do. But the pace can be hard to sustain at times. Upper management actively seeks and develops talent, but only if you're lucky enough to be one of the "chosen". If not, it's hard to change perception once it sets in. Overall, you need to be smart and you need to bring your "A" game everyday. Work life balance can be tough at times.