FAIR VALUE (Tables)

9 Months Ended

Sep. 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	September 30, 2024
	Total		Level 1		Level 2		Level 3
Assets
Investment securities available for sale
U.S. Treasury	$	11,817	$	—	$	11,817	$	—
Government agency	85		—		85		—
Residential mortgage-backed securities	13,016		—		13,016		—
Commercial mortgage-backed securities	2,778		—		2,778		—
Corporate bonds	477		—		313		164
Municipal bonds	17		—		17		—

Total investment securities available for sale	$	28,190	$	—	$	28,026	$	164
Marketable equity securities	82		31		51		—
Loans held for sale	41		—		41		—
Derivative assets (1)
Interest rate contracts — qualifying hedges	$	—	$	—	$	—	$	—

Interest rate contracts — non-qualifying hedges	$	446	$	—	$	445	$	1
Foreign exchange contracts — non-qualifying hedges	93		—		93		—
Other derivative contracts — non-qualifying hedges	14		—		—		14
Total non-qualifying hedge assets	$	553	$	—	$	538	$	15
Total derivative assets	$	553	$	—	$	538	$	15
Liabilities
Derivative liabilities (1)
Interest rate contracts — qualifying hedges	$	—	$	—	$	—	$	—

Interest rate contracts — non-qualifying hedges	$	415	$	—	$	415	$	—
Foreign exchange contracts — non-qualifying hedges	91		—		91		—
Other derivative contracts — non-qualifying hedges	1		—		—		1
Total non-qualifying hedge liabilities	$	507	$	—	$	506	$	1
Total derivative liabilities	$	507	$	—	$	506	$	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
	September 30, 2024		December 31, 2023
Assets
Corporate bonds	$	164	$	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	$	15	$	7	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	$	1	$	1	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	Nine Months Ended September 30, 2024						Nine Months Ended September 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	—		7		—		—		—		—
Changes in fair value included in earnings	(1)		1		—		—		5		—
Changes in fair value included in comprehensive income	8		—		—		(13)		—		—
Transfers in	—		—		—		—		—		1
Transfers out	—		—		—		—		—		—
Maturity and settlements	—		—		—		(9)		—		—
Ending balance	$	164	$	15	$	1	$	152	$	5	$	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, 2024						Nine Months Ended September 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	—		7		—		—		—		—
Changes in fair value included in earnings	(1)		1		—		—		5		—
Changes in fair value included in comprehensive income	8		—		—		(13)		—		—
Transfers in	—		—		—		—		—		1
Transfers out	—		—		—		—		—		—
Maturity and settlements	—		—		—		(9)		—		—
Ending balance	$	164	$	15	$	1	$	152	$	5	$	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 September 30, 2024 and December 31, 2023:

Aggregate Fair Value and UPB - Residential Mortgage Loans


dollars in millions	September 30, 2024						December 31, 2023
	Fair Value		Unpaid Principal Balance		Difference		Fair Value		Unpaid Principal Balance		Difference
Originated loans held for sale	$	41	$	40	$	1	$	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)
September 30, 2024
Assets held for sale - loans	$	3	$	—	$	—	$	3	$	(4)
Loans - collateral dependent loans	314		—		—		314		(114)
Other real estate owned	13		—		—		13		5

Total	$	331	$	—	$	—	$	331	$	(113)
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	September 30, 2024
			Estimated Fair Value
	Carrying Value		Level 1		Level 2		Level 3		Total
Financial Assets
Cash and due from banks	$	862	$	862	$	—	$	—	$	862
Interest-earning deposits at banks	25,640		25,640		—		—		25,640
Securities purchased under agreements to resell	455		—		455		—		455
Investment in marketable equity securities	82		31		51		—		82
Investment securities available for sale	28,190		—		28,026		164		28,190
Investment securities held to maturity	10,391		—		9,168		—		9,168
Loans held for sale	65		—		41		24		65
Net loans	135,036		—		1,450		133,464		134,914
Accrued interest receivable	904		—		904		—		904
Federal Home Loan Bank stock	19		—		19		—		19
Mortgage servicing rights	27		—		—		42		42
Derivative assets - qualifying hedges	—		—		—		—		—
Derivative assets - non-qualifying hedges	553		—		538		15		553
Financial Liabilities
Deposits with no stated maturity	137,445		—		137,445		—		137,445
Time deposits	14,129		—		14,128		—		14,128
Credit balances of factoring clients	1,250		—		—		1,250		1,250
Securities sold under customer repurchase agreements	391		—		391		—		391

Long-term borrowings	36,762		—		36,765		—		36,765
Accrued interest payable	149		—		149		—		149
Derivative liabilities - qualifying hedges	—		—		—		—		—
Derivative liabilities - non-qualifying hedges	507		—		506		1		507

	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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