FAIR VALUE (Tables)

6 Months Ended

Jun. 30, 2024

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

Assets and Liabilities Measured at Fair Value - Recurring Basis


dollars in millions	June 30, 2024
	Total		Level 1		Level 2		Level 3
Assets
Investment securities available for sale
U.S. Treasury	$	11,751	$	—	$	11,751	$	—
Government agency	97		—		97		—
Residential mortgage-backed securities	11,975		—		11,975		—
Commercial mortgage-backed securities	2,727		—		2,727		—
Corporate bonds	486		—		325		161
Municipal bonds	17		—		17		—

Total investment securities available for sale	$	27,053	$	—	$	26,892	$	161
Marketable equity securities	78		32		46		—
Loans held for sale	67		—		67		—
Derivative assets (1)
Interest rate contracts — qualifying hedges	$	—	$	—	$	—	$	—

Interest rate contracts — non-qualifying hedges	$	553	$	—	$	552	$	1
Foreign exchange contracts — non-qualifying hedges	83		—		83		—
Other derivative contracts — non-qualifying hedges	10		—		—		10
Total non-qualifying hedge assets	$	646	$	—	$	635	$	11
Total derivative assets	$	646	$	—	$	635	$	11
Liabilities
Derivative liabilities (1)
Interest rate contracts — qualifying hedges	$	—	$	—	$	—	$	—

Interest rate contracts — non-qualifying hedges	$	569	$	—	$	569	$	—
Foreign exchange contracts — non-qualifying hedges	66		—		66		—
Other derivative contracts — non-qualifying hedges	1		—		—		1
Total non-qualifying hedge liabilities	$	636	$	—	$	635	$	1
Total derivative liabilities	$	636	$	—	$	635	$	1

	December 31, 2023
	Total		Level 1		Level 2		Level 3
Assets
Investment securities available for sale
U.S. Treasury	$	10,508	$	—	$	10,508	$	—
Government agency	117		—		117		—
Residential mortgage-backed securities	6,686		—		6,686		—
Commercial mortgage-backed securities	2,131		—		2,131		—
Corporate bonds	482		—		325		157
Municipal bonds	12		—		12		—

Total investment securities available for sale	$	19,936	$	—	$	19,779	$	157
Marketable equity securities	84		36		48		—
Loans held for sale	38		—		38		—
Derivative assets (1)
Interest rate contracts — qualifying hedges	$	—	$	—	$	—	$	—

Interest rate contracts — non-qualifying hedges	$	530	$	—	$	529	$	1
Foreign exchange contracts — non-qualifying hedges	104		—		104		—
Other derivative contracts — non-qualifying hedges	6		—		—		6
Total non-qualifying hedge assets	$	640	$	—	$	633	$	7
Total derivative assets	$	640	$	—	$	633	$	7
Liabilities
Derivative liabilities (1)
Interest rate contracts — qualifying hedges	$	—	$	—	$	—	$	—

Interest rate contracts — non-qualifying hedges	$	518	$	—	$	518	$	—
Foreign exchange contracts — non-qualifying hedges	117		—		117		—
Other derivative contracts — non-qualifying hedges	1		—		—		1
Total non-qualifying hedge liabilities	$	636	$	—	$	635	$	1
Total derivative liabilities	$	636	$	—	$	635	$	1

(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

Significant Unobservable Inputs

June 30, 2024

Assets

Corporate bonds

161

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

Multiple factors, including but not limited to, private company valuation, illiquidity discount, and estimated life of the instrument.

Liabilities

Interest rate & other derivative — non-qualifying hedges

Internal valuation model

Not material

December 31, 2023

Assets

Corporate bonds

157

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

Multiple factors, including but not limited to, private company valuation, illiquidity discount, and estimated life of the instrument.

Liabilities

Interest rate & other derivative — non-qualifying hedges

Internal valuation model

Not material

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	Six Months Ended June 30, 2024						Six Months Ended June 30, 2023
	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	$	157	$	7	$	1	$	174	$	—	$	—
Purchases	—		5		—		—		—		—
Changes in fair value included in earnings	—		(1)		—		—		3		—
Changes in fair value included in comprehensive income	4		—		—		(14)		—		—
Transfers in	—		—		—		—		—		1
Transfers out	—		—		—		—		—		—
Maturity and settlements	—		—		—		(9)		—		—
Ending balance	$	161	$	11	$	1	$	151	$	3	$	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	Six Months Ended June 30, 2024						Six Months Ended June 30, 2023
	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	$	157	$	7	$	1	$	174	$	—	$	—
Purchases	—		5		—		—		—		—
Changes in fair value included in earnings	—		(1)		—		—		3		—
Changes in fair value included in comprehensive income	4		—		—		(14)		—		—
Transfers in	—		—		—		—		—		1
Transfers out	—		—		—		—		—		—
Maturity and settlements	—		—		—		(9)		—		—
Ending balance	$	161	$	11	$	1	$	151	$	3	$	1

Schedule of Fair Value Option

The following table summarizes the difference between the aggregate fair value and the UPB for residential mortgage loans originated for sale measured at fair value as of June 30, 2024 and December 31, 2023:

Aggregate Fair Value and UPB - Residential Mortgage Loans


dollars in millions	June 30, 2024
	Fair Value		Unpaid Principal Balance		Difference
Originated loans held for sale	$	67	$	66	$	1

	December 31, 2023
	Fair Value		Unpaid Principal Balance		Difference
Originated loans held for sale	$	38	$	37	$	1

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)
June 30, 2024
Assets held for sale - loans	$	5	$	—	$	—	$	5	$	(4)
Loans - collateral dependent loans	276		—		—		276		(59)
Other real estate owned	17		—		—		17		3

Total	$	298	$	—	$	—	$	298	$	(60)
December 31, 2023
Assets held for sale - loans	$	12	$	—	$	—	$	12	$	(4)
Loans - collateral dependent loans	265		—		—		265		(131)
Other real estate owned	16		—		—		16		4

Total	$	293	$	—	$	—	$	293	$	(131)

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	June 30, 2024
			Estimated Fair Value
	Carrying Value		Level 1		Level 2		Level 3		Total
Financial Assets
Cash and due from banks	$	764	$	764	$	—	$	—	$	764
Interest-earning deposits at banks	25,361		25,361		—		—		25,361
Securities purchased under agreements to resell	392		—		392		—		392
Investment in marketable equity securities	78		32		46		—		78
Investment securities available for sale	27,053		—		26,892		161		27,053
Investment securities held to maturity	10,535		—		8,946		—		8,946
Loans held for sale	86		—		67		20		87
Net loans	135,631		—		1,412		132,753		134,165
Accrued interest receivable	925		—		925		—		925
Federal Home Loan Bank stock	20		—		20		—		20
Mortgage servicing rights	26		—		—		46		46
Derivative assets - qualifying hedges	—		—		—		—		—
Derivative assets - non-qualifying hedges	646		—		635		11		646
Financial Liabilities
Deposits with no stated maturity	135,920		—		135,920		—		135,920
Time deposits	15,159		—		15,151		—		15,151
Credit balances of factoring clients	1,175		—		—		1,175		1,175
Securities sold under customer repurchase agreements	386		—		386		—		386

Long-term borrowings	37,064		—		36,362		—		36,362
Accrued interest payable	159		—		159		—		159
Derivative liabilities - qualifying hedges	—		—		—		—		—
Derivative liabilities - non-qualifying hedges	636		—		635		1		636

	December 31, 2023
			Estimated Fair Value
	Carrying Value		Level 1		Level 2		Level 3		Total
Financial Assets
Cash and due from banks	$	908	$	908	$	—	$	—	$	908
Interest-earning deposits at banks	33,609		33,609		—		—		33,609
Securities purchased under agreements to resell	473		—		473		—		473
Investment in marketable equity securities	84		36		48		—		84
Investment securities available for sale	19,936		—		19,779		157		19,936
Investment securities held to maturity	9,979		—		8,503		—		8,503
Loans held for sale	73		—		38		35		73
Net loans	129,545		—		1,479		125,217		126,696
Accrued interest receivable	832		—		832		—		832
Federal Home Loan Bank stock	20		—		20		—		20
Mortgage servicing rights	25		—		—		42		42
Derivative assets - qualifying hedges	—		—		—		—		—
Derivative assets - non-qualifying hedges	640		—		633		7		640
Financial Liabilities
Deposits with no stated maturity	129,427		—		129,427		—		129,427
Time deposits	16,427		—		16,416		—		16,416
Credit balances of factoring clients	1,089		—		—		1,089		1,089
Securities sold under customer repurchase agreements	485		—		485		—		485

Long-term borrowings	37,160		—		36,816		—		36,816
Accrued interest payable	137		—		137		—		137
Derivative liabilities - qualifying hedges	—		—		—		—		—
Derivative liabilities - non-qualifying hedges	636		—		635		1		636

- Definition

Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income (loss), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset.

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