Fair Value (Tables)

3 Months Ended

Mar. 31, 2022

Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis

Assets and Liabilities Measured at Fair Value - Recurring Basis (dollars in millions)


	March 31, 2022
dollars in millions	Total		Level 1		Level 2		Level 3
Assets
Investment securities available for sale
U.S. Treasury	$	1,931	$	—	$	1,931	$	—
Government agency	206		—		206		—
Residential mortgage-backed securities	5,052		—		5,052		—
Commercial mortgage-backed securities	1,520		—		1,520		—
Corporate bonds	586		—		400		186

Total investment securities available for sale	$	9,295	$	—	$	9,109	$	186
Marketable equity securities	100		33		67		—
Loans held for sale	65		—		65		—
Derivative assets(1)
Interest rate contracts — non-qualifying hedges	106		—		105		1
Other derivative — non-qualifying hedges	4		—		4		—
Total derivative assets	$	110	$	—	$	109	$	1
Liabilities
Derivative liabilities(1)
Interest rate contracts — non-qualifying hedges	$	199	$	—	$	199	$	—
Other derivative— non-qualifying hedges	5		—		4		1
Total derivative liabilities	$	204	$	—	$	203	$	1

	December 31, 2021
dollars in millions	Total		Level 1		Level 2		Level 3
Assets
Investment securities available for sale
U.S. Treasury	$	2,005	$	—	$	2,005	$	—
Government agency	221		—		221		—
Residential mortgage-backed securities	4,729		—		4,729		—
Commercial mortgage-backed securities	1,640		—		1,640		—
Corporate bonds	608		—		401		207
Total investment securities available for sale	$	9,203	$	—	$	8,996	$	207
Marketable equity securities	98		34		64		—
Loans held for sale	99		—		99		—

(1)Derivative fair values include accrued interest.

Schedule of Fair Value Measurement Inputs and Valuation Techniques

The following tables summarize information about significant unobservable inputs related to BancShares’ categories of Level 3 financial assets and liabilities measured on a recurring basis.

Quantitative Information About Level 3 Fair Value Measurements - Recurring Basis

dollars in millions

Financial Instrument

Estimated
Fair Value

Valuation
Technique(s)

Significant
Unobservable
Inputs

Range of
Inputs

Weighted
Average

March 31, 2022

Assets

Corporate bonds

186

Indicative bid provided by broker

Multiple factors, including but not limited to, current operations, financial condition, cash flows, and recently executed financing transactions related to the issuer

Interest rate & other derivative — non-qualifying hedges

Internal valuation model

Not material

Liabilities

Interest rate & other derivative — non-qualifying hedges

Internal valuation model

Not material

December 31, 2021

Assets

Corporate bonds

207

Indicative bid provided by broker

Multiple factors, including but not limited to, current operations, financial condition, cash flows, and recently executed financing transactions related to the issuer

Schedule of Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation

The following table summarizes the changes in estimated fair value for all assets and liabilities measured at estimated fair value on a recurring basis using significant unobservable inputs (Level 3).

Changes in Estimated Fair Value of Level 3 Financial Assets and Liabilities - Recurring Basis


	Three months ended March 31, 2022						Three months ended March 31, 2021
dollars in millions	Corporate Bonds		Other Derivative Assets — Non-Qualifying		Other Derivative Liabilities — Non-Qualifying		Corporate Bonds
Beginning balance	$	207	$	—	$	—	$	317
Purchases	—		—		1		—
Included in earnings	—		1		—		—
Included in comprehensive income	(7)		—		—		2
Transfers in	—		—		—		—
Transfers out	(14)		—		—		—
Maturity and settlements	—		—		—		(1)
Ending balance	$	186	$	1	$	1	$	318

Schedule of Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation

Changes in Estimated Fair Value of Level 3 Financial Assets and Liabilities - Recurring Basis


	Three months ended March 31, 2022						Three months ended March 31, 2021
dollars in millions	Corporate Bonds		Other Derivative Assets — Non-Qualifying		Other Derivative Liabilities — Non-Qualifying		Corporate Bonds
Beginning balance	$	207	$	—	$	—	$	317
Purchases	—		—		1		—
Included in earnings	—		1		—		—
Included in comprehensive income	(7)		—		—		2
Transfers in	—		—		—		—
Transfers out	(14)		—		—		—
Maturity and settlements	—		—		—		(1)
Ending balance	$	186	$	1	$	1	$	318

Schedule of Fair Value Option

The following table summarizes the difference between the aggregate fair value and the UPB for residential real estate loans

originated for sale measured at fair value as of March 31, 2022 and December 31, 2021.


	March 31, 2022
dollars in millions	Fair Value		Unpaid Principal Balance		Difference
Originated loans held for sale	$	65	$	65	$	—

	December 31, 2021
	Fair Value		Unpaid Principal Balance		Difference
Originated loans held for sale	$	99	$	96	$	3

Schedule of Fair Value, Assets Measured on Nonrecurring Basis

The following table presents carrying value of assets measured at estimated fair value on a non-recurring basis for which gains and losses from a non-recurring fair value adjustment have been recorded in the periods. The gains and losses reflect amounts recorded for the respective periods, regardless of whether the asset is still held at period end.

Assets Measured at Fair Value - Non-recurring Basis


	Fair Value Measurements
dollars in millions	Total		Level 1		Level 2		Level 3		Total Gains (Losses)
March 31, 2022
Assets held for sale - loans	$	2	$	—	$	—	$	2	$	—
Loans - collateral dependent loans	109		—		—		109		(8)
Other real estate owned	39		—		—		39		2
Mortgage servicing rights	1		—		—		1		1
Total	$	151	$	—	$	—	$	151	$	(5)
December 31, 2021
Other real estate owned	$	34	$	—	$	—	$	34	$	(4)
Loans - collateral dependent loans	3		—		—		3		(2)
Mortgage servicing rights	22		—		—		22		3
Total	$	59	$	—	$	—	$	59	$	(3)

Schedule of Carrying Values and Estimated Fair Values for Financial Instruments

The table below presents the carrying values and estimated fair values for financial instruments. The carrying values and estimated fair values of financial instruments exclude leases and certain other assets and liabilities, which were not required for disclosure.

Carrying Values and Fair Values of Financial Assets and Liabilities


	March 31, 2022
			Estimated Fair Value
dollars in millions	Carrying Value		Level 1		Level 2		Level 3		Total
Financial Assets
Cash and due from banks	$	523	$	523	$	—	$	—	$	523
Interest earning deposits at banks	9,285		9,285		—		—		9,285
Investment securities available for sale	9,295		—		9,109		186		9,295
Investment securities held to maturity	10,074		—		9,457		—		9,457
Investment in marketable equity securities	100		33		67		—		100
Loans held for sale	81		—		65		16		81
Net loans	62,489		—		1,574		59,757		61,331
Income earned not collected	247		—		247		—		247
Federal Home Loan Bank stock	39		—		39		—		39

Mortgage and other servicing rights	28		—		—		35		35
Derivative assets	110		—		109		1		110
Financial Liabilities
Deposits	91,597		—		91,572		—		91,572
Securities sold under customer repurchase agreements	616		—		616		—		616

Long-term borrowings	2,672		—		2,606		15		2,621
Credit balances of factoring clients	1,150		—		—		1,150		1,150
Accrued interest payable	24		—		24		—		24
Derivative liabilities	204		—		203		1		204

	December 31, 2021
			Estimated Fair Value
dollars in millions	Carrying Value		Level 1		Level 2		Level 3		Total
Financial Assets
Cash and due from banks	$	338	$	338	$	—	$	—	$	338
Interest earning deposits at banks	9,115		9,115		—		—		9,115
Investment securities available for sale	9,203		—		8,996		207		9,203
Investment securities held to maturity	3,809		—		3,759		—		3,759
Investment in marketable equity securities	98		34		64		—		98
Loans held for sale	99		—		99		—		99
Net loans	32,193		—		—		31,890		31,890
Income earned not collected	134		—		134		—		134
Federal Home Loan Bank stock	40		—		40		—		40

Mortgage and other servicing rights	23		—		—		23		23
Financial Liabilities
Deposits with no stated maturity	48,925		—		48,925		—		48,925
Time deposits	2,481		—		2,471		—		2,471
Securities sold under customer repurchase agreements	589		—		589		—		589

Long-term borrowings	1,195		—		1,222		—		1,222



Accrued interest payable	8		—		8		—		8