FAIR VALUE (Tables)

6 Months Ended

Jun. 30, 2025

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

The following table presents assets and liabilities measured at fair value on a recurring basis:

Assets and Liabilities Measured at Fair Value - Recurring Basis


dollars in millions	June 30, 2025
	Total		Level 1		Level 2		Level 3
Assets
Investment securities available for sale
U.S. Treasury	$	12,170	$	—	$	12,170	$	—
Government agency	60		—		60		—
Residential mortgage-backed securities	16,924		—		16,924		—
Commercial mortgage-backed securities	3,536		—		3,536		—
Corporate bonds	353		—		215		138
Municipal bonds	17		—		17		—

Total investment securities available for sale	$	33,060	$	—	$	32,922	$	138
Marketable equity securities	97		42		55		—
Loans held for sale	83		—		83		—
Loans	23		—		23		—
Derivative assets (1)


Total qualifying hedge assets	$	—	$	—	$	—	$	—
Interest rate contracts — non-qualifying hedges	$	418	$	—	$	415	$	3
Foreign exchange contracts — non-qualifying hedges	188		—		188		—
Other derivative contracts — non-qualifying hedges	20		—		—		20
Total non-qualifying hedge assets	$	626	$	—	$	603	$	23
Total derivative assets	$	626	$	—	$	603	$	23
Liabilities
Derivative liabilities (1)
Interest rate contracts — qualifying hedges	$	—	$	—	$	—	$	—

Interest rate contracts — non-qualifying hedges	$	411	$	—	$	411	$	—
Foreign exchange contracts — non-qualifying hedges	219		—		219		—
Other derivative contracts — non-qualifying hedges	1		—		—		1
Total non-qualifying hedge liabilities	$	631	$	—	$	630	$	1
Total derivative liabilities	$	631	$	—	$	630	$	1
(1) Derivative fair values include accrued interest.


dollars in millions	December 31, 2024
	Total		Level 1		Level 2		Level 3
Assets
Investment securities available for sale
U.S. Treasury	$	13,903	$	—	$	13,903	$	—
Government agency	77		—		77		—
Residential mortgage-backed securities	15,620		—		15,620		—
Commercial mortgage-backed securities	3,666		—		3,666		—
Corporate bonds	467		—		299		168
Municipal bonds	17		—		17		—

Total investment securities available for sale	$	33,750	$	—	$	33,582	$	168
Marketable equity securities	101		48		53		—
Loans held for sale	55		—		55		—
Derivative assets (1)

Total qualifying hedge assets	$	1	$	—	$	1	$	—
Interest rate contracts — non-qualifying hedges	$	491	$	—	$	490	$	1
Foreign exchange contracts — non-qualifying hedges	152		—		152		—
Other derivative contracts — non-qualifying hedges	16		—		—		16
Total non-qualifying hedge assets	$	659	$	—	$	642	$	17
Total derivative assets	$	660	$	—	$	643	$	17
Liabilities
Derivative liabilities (1)
Interest rate contracts — qualifying hedges	$	—	$	—	$	—	$	—

Interest rate contracts — non-qualifying hedges	$	516	$	—	$	516	$	—
Foreign exchange contracts — non-qualifying hedges	108		—		108		—
Other derivative contracts — non-qualifying hedges	1		—		—		1
Total non-qualifying hedge liabilities	$	625	$	—	$	624	$	1
Total derivative liabilities	$	625	$	—	$	624	$	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, 2025		December 31, 2024
Assets
Corporate bonds	$	138	$	168	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	$	23	$	17	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	Six Months Ended June 30, 2025						Six Months Ended June 30, 2024
	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	$	168	$	17	$	1	$	157	$	7	$	1
Purchases	—		4		—		—		5		—
Changes in fair value included in earnings	—		3		—		—		(1)		—
Changes in fair value included in comprehensive income	5		—		—		4		—		—


Maturity and settlements	(35)		(1)		—		—		—		—
Ending balance	$	138	$	23	$	1	$	161	$	11	$	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, 2025						Six Months Ended June 30, 2024
	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	$	168	$	17	$	1	$	157	$	7	$	1
Purchases	—		4		—		—		5		—
Changes in fair value included in earnings	—		3		—		—		(1)		—
Changes in fair value included in comprehensive income	5		—		—		4		—		—


Maturity and settlements	(35)		(1)		—		—		—		—
Ending balance	$	138	$	23	$	1	$	161	$	11	$	1

Schedule of Fair Value Option

The following table summarizes the difference between the aggregate fair value and the unpaid principal balance (“UPB”) for residential mortgage loans originated for sale measured at fair value:

Aggregate Fair Value and UPB - Residential Mortgage Loans


dollars in millions	June 30, 2025						December 31, 2024
	Fair Value		Unpaid Principal Balance		Difference		Fair Value		Unpaid Principal Balance		Difference
Originated loans held for sale (1)	$	106	$	106	$	—	$	55	$	54	$	1

(1) Originated loans held for sale include loans held for sale and loans originated for sale but transferred to portfolio and held for investment.

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, 2025
Assets held for sale - loans	$	2	$	—	$	—	$	2	$	(6)
Loans - collateral dependent loans	275		—		—		275		(113)
Other real estate owned	76		—		—		76		(7)

Total	$	354	$	—	$	—	$	354	$	(126)
December 31, 2024
Assets held for sale - loans	$	13	$	—	$	—	$	13	$	(7)
Loans - collateral dependent loans	388		—		—		388		(171)
Other real estate owned	16		—		—		16		6

Total	$	417	$	—	$	—	$	417	$	(172)

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, 2025
			Estimated Fair Value
	Carrying Value		Level 1		Level 2		Level 3		Total
Financial Assets
Cash and due from banks	$	889	$	889	$	—	$	—	$	889
Interest-earning deposits at banks	26,184		26,184		—		—		26,184
Securities purchased under agreements to resell	300		—		300		—		300
Investment in marketable equity securities	97		42		55		—		97
Investment securities available for sale	33,060		—		32,922		138		33,060
Investment securities held to maturity	10,189		—		8,888		—		8,888
Loans held for sale	123		—		83		40		123
Net loans	137,605		—		1,538		136,582		138,120
Accrued interest receivable	902		—		902		—		902
Federal Home Loan Bank stock	19		—		19		—		19
Mortgage servicing rights	29		—		—		48		48

Derivative assets - non-qualifying hedges	626		—		603		23		626
Financial Liabilities
Deposits with no stated maturity	148,693		—		148,693		—		148,693
Time deposits	11,242		—		11,244		—		11,244
Credit balances of factoring clients	1,077		—		—		1,077		1,077
Securities sold under customer repurchase agreements	471		—		471		—		471

Long-term borrowings	37,578		—		37,507		—		37,507
Accrued interest payable	120		—		120		—		120

Derivative liabilities - non-qualifying hedges	631		—		630		1		631

	December 31, 2024
			Estimated Fair Value
	Carrying Value		Level 1		Level 2		Level 3		Total
Financial Assets
Cash and due from banks	$	814	$	814	$	—	$	—	$	814
Interest-earning deposits at banks	21,364		21,364		—		—		21,364
Securities purchased under agreements to resell	158		—		158		—		158
Investment in marketable equity securities	101		48		53		—		101
Investment securities available for sale	33,750		—		33,582		168		33,750
Investment securities held to maturity	10,239		—		8,702		—		8,702
Loans held for sale	82		—		55		27		82
Net loans	136,567		—		1,463		133,409		134,872
Accrued interest receivable	902		—		902		—		902
Federal Home Loan Bank stock	20		—		20		—		20
Mortgage servicing rights	27		—		—		47		47
Derivative assets - qualifying hedges	1		—		1		—		1
Derivative assets - non-qualifying hedges	659		—		642		17		659
Financial Liabilities
Deposits with no stated maturity	141,976		—		141,976		—		141,976
Time deposits	13,253		—		13,247		—		13,247
Credit balances of factoring clients	1,016		—		—		1,016		1,016
Securities sold under customer repurchase agreements	367		—		367		—		367

Long-term borrowings	36,669		—		36,220		—		36,220
Accrued interest payable	134		—		134		—		134

Derivative liabilities - non-qualifying hedges	625		—		624		1		625

- 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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