Fair Value (Tables)

9 Months Ended

Sep. 30, 2023

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

The following table summarizes BancShares’ assets and liabilities measured at estimated fair value on a recurring basis:

Assets and Liabilities Measured at Fair Value - Recurring Basis


dollars in millions	September 30, 2023
	Total		Level 1		Level 2		Level 3
Assets
Investment securities available for sale
U.S. Treasury	$	8,647	$	—	$	8,647	$	—
Government agency	129		—		129		—
Residential mortgage-backed securities	5,600		—		5,600		—
Commercial mortgage-backed securities	1,797		—		1,797		—
Corporate bonds	478		—		326		152
Municipal bonds	10		—		10		—

Total investment securities available for sale	$	16,661	$	—	$	16,509	$	152
Marketable equity securities	75		31		44		—
Loans held for sale	22		—		22		—
Derivative assets (1)
Interest rate contracts — non-qualifying hedges	$	748	$	—	$	747	$	1
Foreign exchange contracts — non-qualifying hedges	151		—		151		—
Other derivative contracts — non-qualifying hedges	5		—		—		5
Total derivative assets	$	904	$	—	$	898	$	6
Liabilities
Derivative liabilities (1)
Interest rate contracts — non-qualifying hedges	$	781	$	—	$	781	$	—
Foreign exchange contracts — non-qualifying hedges	130		—		130		—
Other derivative contracts — non-qualifying hedges	1		—		—		1
Total derivative liabilities	$	912	$	—	$	911	$	1

	December 31, 2022
	Total		Level 1		Level 2		Level 3
Assets
Investment securities available for sale
U.S. Treasury	$	1,898	$	—	$	1,898	$	—
Government agency	162		—		162		—
Residential mortgage-backed securities	4,795		—		4,795		—
Commercial mortgage-backed securities	1,604		—		1,604		—
Corporate bonds	536		—		362		174


Total investment securities available for sale	$	8,995	$	—	$	8,821	$	174
Marketable equity securities	95		32		63		—
Loans held for sale	4		—		4		—
Derivative assets (1)
Interest rate contracts — non-qualifying hedges	$	158	$	—	$	158	$	—
Foreign exchange contracts — non-qualifying hedges	1		—		1		—

Total derivative assets	$	159	$	—	$	159	$	—
Liabilities
Derivative liabilities (1)
Interest rate contracts — non-qualifying hedges	$	482	$	—	$	482	$	—
Foreign exchange contracts — non-qualifying hedges	4		—		4		—

Total derivative liabilities	$	486	$	—	$	486	$	—

(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, 2023

Assets

Corporate bonds

152

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, 2022

Assets

Corporate bonds

174

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, 2023						Nine Months Ended September 30, 2022
	Corporate Bonds		Other Derivative Assets — Non-Qualifying		Other Derivative Liabilities — Non-Qualifying		Corporate Bonds		Other Derivative Assets — Non-Qualifying		Other Derivative Liabilities — Non-Qualifying
Beginning balance	$	174	$	—	$	—	$	207	$	—	$	—
Purchases	—		—		—		—		—		1
Changes in FV included in earnings	—		5		—		—		1		(1)
Changes in FV included in comprehensive income	(13)		—		—		(17)		—		—
Transfers in	—		—		1		—		—		—
Transfers out	—		—		—		(14)		—		—
Maturity and settlements	(9)		—		—		—		—		—
Ending balance	$	152	$	5	$	1	$	176	$	1	$	—

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, 2023						Nine Months Ended September 30, 2022
	Corporate Bonds		Other Derivative Assets — Non-Qualifying		Other Derivative Liabilities — Non-Qualifying		Corporate Bonds		Other Derivative Assets — Non-Qualifying		Other Derivative Liabilities — Non-Qualifying
Beginning balance	$	174	$	—	$	—	$	207	$	—	$	—
Purchases	—		—		—		—		—		1
Changes in FV included in earnings	—		5		—		—		1		(1)
Changes in FV included in comprehensive income	(13)		—		—		(17)		—		—
Transfers in	—		—		1		—		—		—
Transfers out	—		—		—		(14)		—		—
Maturity and settlements	(9)		—		—		—		—		—
Ending balance	$	152	$	5	$	1	$	176	$	1	$	—

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, 2023 and December 31, 2022:

Aggregate Fair Value and UPB - Residential Real Estate Loans


dollars in millions	September 30, 2023
	Fair Value		Unpaid Principal Balance		Difference
Originated loans held for sale	$	22	$	22	$	—

	December 31, 2022
	Fair Value		Unpaid Principal Balance		Difference
Originated loans held for sale	$	4	$	4	$	—

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 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, 2023
Assets held for sale - loans	$	22	$	—	$	—	$	22	$	(5)
Loans - collateral dependent loans	249		—		—		249		(96)
Other real estate owned	15		—		—		15		2

Total	$	286	$	—	$	—	$	286	$	(99)
December 31, 2022
Assets held for sale - loans	$	23	$	—	$	—	$	23	$	(1)
Loans - collateral dependent loans	149		—		—		149		(24)
Other real estate owned	43		—		—		43		14
Mortgage servicing rights	—		—		—		—		1
Total	$	215	$	—	$	—	$	215	$	(10)

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, 2023
			Estimated Fair Value
	Carrying Value		Level 1		Level 2		Level 3		Total
Financial Assets
Cash and due from banks	$	791	$	791	$	—	$	—	$	791
Interest earning deposits at banks	36,704		36,704		—		—		36,704
Securities purchased under agreements to resell	549		—		549		—		549
Investment in marketable equity securities	75		31		44		—		75
Investment securities available for sale	16,661		—		16,509		152		16,661
Investment securities held to maturity	10,082		—		8,152		—		8,152
Loans held for sale	54		—		22		32		54
Net loans	129,466		—		1,506		124,367		125,873
Accrued interest receivable	833		—		833		—		833
Federal Home Loan Bank stock	19		—		19		—		19
Mortgage servicing rights	25		—		—		47		47
Derivative assets	904		—		898		6		904
Financial Liabilities
Deposits with no stated maturity	129,197		—		129,197		—		129,197
Time deposits	17,036		—		16,990		—		16,990
Credit balances of factoring clients	1,282		—		—		1,282		1,282
Securities sold under customer repurchase agreements	453		—		453		—		453

Long-term borrowings	37,250		—		36,296		—		36,296
Accrued interest payable	146		—		146		—		146
Derivative liabilities	912		—		911		1		912

	December 31, 2022
			Estimated Fair Value
	Carrying Value		Level 1		Level 2		Level 3		Total
Financial Assets
Cash and due from banks	$	518	$	518	$	—	$	—	$	518
Interest earning deposits at banks	5,025		5,025		—		—		5,025
Investment in marketable equity securities	95		32		63		—		95
Investment securities available for sale	8,995		—		8,821		174		8,995
Investment securities held to maturity	10,279		—		8,795		—		8,795
Loans held for sale	52		—		4		45		49
Net loans	67,720		—		1,679		62,633		64,312
Accrued interest receivable	329		—		329		—		329
Federal Home Loan Bank stock	197		—		197		—		197
Mortgage servicing rights	25		—		—		47		47
Derivative assets	159		—		159		—		159
Financial Liabilities
Deposits with no stated maturity	78,798		—		78,798		—		78,798
Time deposits	10,610		—		10,504		—		10,504
Credit balances of factoring clients	995		—		—		995		995
Securities sold under customer repurchase agreements	436		—		436		—		436
Other short-term borrowings	1,750		—		1,750		—		1,750
Long-term borrowings	4,452		—		4,312		18		4,330
Accrued interest payable	57		—		57		—		57
Derivative liabilities	486		—		486		—		486