Fair Value (Tables)

9 Months Ended

Sep. 30, 2022

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

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


dollars in millions	September 30, 2022
	Total		Level 1		Level 2		Level 3
Assets
Investment securities available for sale
U.S. Treasury	$	1,900	$	—	$	1,900	$	—
Government agency	173		—		173		—
Residential mortgage-backed securities	4,784		—		4,784		—
Commercial mortgage-backed securities	1,673		—		1,673		—
Corporate bonds	558		—		382		176

Total investment securities available for sale	$	9,088	$	—	$	8,912	$	176
Marketable equity securities	92		30		62		—
Loans held for sale	7		—		7		—
Derivative assets(1)
Interest rate contracts — non-qualifying hedges	143		—		142		1
Other derivative — non-qualifying hedges	6		—		6		—
Total derivative assets	$	149	$	—	$	148	$	1
Liabilities
Derivative liabilities(1)
Interest rate contracts — non-qualifying hedges	$	500	$	—	$	500	$	—
Other derivative— non-qualifying hedges	—		—		—		—
Total derivative liabilities	$	500	$	—	$	500	$	—

	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

September 30, 2022

Assets

Corporate bonds

176

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

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


dollars in millions	Nine Months Ended September 30, 2022						Nine Months Ended September 30, 2021
	Corporate Bonds		Other Derivative Assets — Non-Qualifying		Other Derivative Liabilities — Non-Qualifying		Corporate Bonds
Beginning balance	$	207	$	—	$	—	$	317
Purchases	—		—		1		31
Included in earnings	—		1		(1)		2
Included in comprehensive income	(17)		—		—		4

Transfers out	(14)		—		—		—
Maturity and settlements	—		—		—		(46)
Ending balance	$	176	$	1	$	—	$	308

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


dollars in millions	Nine Months Ended September 30, 2022						Nine Months Ended September 30, 2021
	Corporate Bonds		Other Derivative Assets — Non-Qualifying		Other Derivative Liabilities — Non-Qualifying		Corporate Bonds
Beginning balance	$	207	$	—	$	—	$	317
Purchases	—		—		1		31
Included in earnings	—		1		(1)		2
Included in comprehensive income	(17)		—		—		4

Transfers out	(14)		—		—		—
Maturity and settlements	—		—		—		(46)
Ending balance	$	176	$	1	$	—	$	308

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 September 30, 2022 and December 31, 2021.


dollars in millions	September 30, 2022
	Fair Value		Unpaid Principal Balance		Difference
Originated loans held for sale	$	7	$	7	$	—

	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


dollars in millions	Fair Value Measurements
	Total		Level 1		Level 2		Level 3		Total Gains (Losses)
September 30, 2022
Assets held for sale - loans	$	3	$	—	$	—	$	3	$	(1)
Loans - collateral dependent loans	78		—		—		78		(10)
Other real estate owned	51		—		—		51		13
Mortgage servicing rights	—		—		—		—		1
Total	$	132	$	—	$	—	$	132	$	3
December 31, 2021
Loans - collateral dependent loans	$	3	$	—	$	—	$	3	$	(2)
Other real estate owned	34		—		—		34		(4)
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, excluding leases and certain other assets and liabilities for which these disclosures are not required.

Carrying Values and Fair Values of Financial Assets and Liabilities


dollars in millions	September 30, 2022
			Estimated Fair Value
	Carrying Value		Level 1		Level 2		Level 3		Total
Financial Assets
Cash and due from banks	$	481	$	481	$	—	$	—	$	481
Interest earning deposits at banks	6,172		6,172		—		—		6,172
Investment in marketable equity securities	92		30		62		—		92
Investment securities available for sale	9,088		—		8,912		176		9,088
Investment securities held to maturity	9,661		—		8,166		—		8,166
Loans held for sale	18		—		7		14		21
Net loans	66,757		—		1,612		61,280		62,892
Accrued interest receivable	286		—		286		—		286
Federal Home Loan Bank stock	234		—		234		—		234

Mortgage and other servicing rights	26		—		—		48		48
Derivative assets	149		—		148		1		149
Financial Liabilities
Deposits	87,553		—		87,435		—		87,435

Credit balances of factoring clients	1,147		—		—		1,147		1,147
Securities sold under customer repurchase agreements	578		—		578		—		578
Other short-term borrowings	2,550		—		2,550		—		2,550
Long-term borrowings	5,207		—		5,042		17		5,059
Accrued interest payable	35		—		35		—		35
Derivative liabilities	500		—		500		—		500

	December 31, 2021
			Estimated Fair Value
	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 in marketable equity securities	98		34		64		—		98
Investment securities available for sale	9,203		—		8,996		207		9,203
Investment securities held to maturity	3,809		—		3,759		—		3,759
Loans held for sale	99		—		99		—		99
Net loans	32,193		—		—		31,890		31,890
Accrued interest receivable	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