FAIR VALUE MEASUREMENTS

3 Months Ended

Mar. 31, 2024

Refer to Note 26, "Fair Value Measurements" to the Consolidated Financial Statements included in our 2023 Annual Report on Form 10-K filed with the SEC on February 26, 2024 for a description of additional valuation methodologies for assets and liabilities measured at fair value on a recurring and non-recurring basis.

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

TABLE 18.1


(in millions)	Level 1		Level 2		Level 3		Total
March 31, 2024
Assets Measured at Fair Value
Debt securities available for sale
U.S. Treasury	$	123	$	—	$	—	$	123
U.S. government agencies	—		72		—		72
U.S. government-sponsored entities	—		272		—		272
Residential MBS:
Agency MBS	—		894		—		894
Agency collateralized mortgage obligations	—		793		—		793

Agency commercial MBS	—		1,005		—		1,005
States of the U.S. and political subdivisions (municipals)	—		27		—		27
Other debt securities	—		40		—		40
Total debt securities available for sale	123		3,103		—		3,226
Loans held for sale	—		93		—		93
Loans receivable	—		—		46		46





Derivative financial instruments
Trading	—		115		—		115
Not for trading	—		1		3		4
Total derivative financial instruments	—		116		3		119
Total assets measured at fair value on a recurring basis	$	123	$	3,312	$	49	$	3,484
Liabilities Measured at Fair Value
Derivative financial instruments
Trading	$	—	$	357	$	—	$	357
Not for trading	—		3		—		3
Total derivative financial instruments	—		360		—		360
Total liabilities measured at fair value on a recurring basis	$	—	$	360	$	—	$	360


(in millions)	Level 1		Level 2		Level 3		Total
December 31, 2023
Assets Measured at Fair Value
Debt securities available for sale
U.S. Treasury	$	420	$	—	$	—	$	420
U.S. government agencies	—		79		—		79
U.S. government-sponsored entities	—		223		—		223
Residential MBS:
Agency MBS	—		752		—		752
Agency collateralized mortgage obligations	—		832		—		832

Agency commercial MBS	—		884		—		884
States of the U.S. and political subdivisions (municipals)	—		27		—		27
Other debt securities	—		37		—		37
Total debt securities available for sale	420		2,834		—		3,254
Loans held for sale	—		150		—		150






Derivative financial instruments
Trading	—		109		—		109
Not for trading	—		2		5		7
Total derivative financial instruments	—		111		5		116
Total assets measured at fair value on a recurring basis	$	420	$	3,095	$	5	$	3,520
Liabilities Measured at Fair Value
Derivative financial instruments
Trading	$	—	$	324	$	—	$	324
Not for trading	—		4		—		4
Total derivative financial instruments	—		328		—		328
Total liabilities measured at fair value on a recurring basis	$	—	$	328	$	—	$	328

The following table presents additional information about assets measured at fair value on a recurring basis and for which we have utilized Level 3 inputs to determine fair value:

TABLE 18.2


(in millions)	Other Debt Securities		Loans Receivable		Interest Rate Lock Commitments		Total
Three Months Ended March 31, 2024
Balance at beginning of period	$	—	$	—	$	5	$	5




Purchases, issuances, sales and settlements:

Issuances	—		—		3		3

Settlements	—		—		(5)		(5)

Transfers into Level 3	—		46		—		46
Balance at end of period	$	—	$	46	$	3	$	49
Year Ended December 31, 2023
Balance at beginning of period	$	—	$	—	$	—	$	—




Purchases, issuances, sales and settlements:

Issuances	—		—		6		6

Settlements	—		—		(1)		(1)


Balance at end of period	$	—	$	—	$	5	$	5

We review fair value hierarchy classifications on a quarterly basis. Changes in the observability of the valuation attributes may result in reclassification of certain financial assets or liabilities. Such reclassifications are reported as transfers in/out of Level 3 at fair value at the beginning of the period in which the changes occur. During the first three months of 2024, $46.5 million in loans receivable were measured using the fair value option at Level 3 on a recurring basis. There were no transfers of assets or liabilities between the hierarchy levels during the first three months of 2023.

From time to time, we measure certain assets at fair value on a non-recurring basis. These adjustments to fair value usually result from the application of the lower of cost or fair value accounting or write-downs of individual assets. Valuation methodologies used to measure these fair value adjustments were described in Note 26, "Fair Value Measurements" to the Consolidated Financial Statements included in 2023 Annual Report on Form 10-K. For assets measured at fair value on a non-recurring basis still held at the Balance Sheet date, the following table provides the hierarchy level and the fair value of the related assets or portfolios:

TABLE 18.3


(in millions)	Level 1		Level 2		Level 3		Total
March 31, 2024
Collateral dependent loans	$	—	$	—	$	29	$	29

Other assets - MSRs	—		—		1		1


December 31, 2023
Collateral dependent loans	$	—	$	—	$	35	$	35
Indirect installment loans held for sale	—		—		338		338
Other assets - MSRs	—		—		12		12
Other assets - SBA servicing asset	—		—		1		1
Other real estate owned	—		—		2		2

The fair value amounts for collateral dependent loans and OREO in the table above were estimated at a date during the three months or twelve months ended March 31, 2024 and December 31, 2023, respectively. Consequently, the fair value information presented is not necessarily as of the period’s end. Collateral dependent loans measured or re-measured at fair value on a non-recurring basis during the three months ended March 31, 2024 had a carrying amount of $29.4 million, which includes an allocated ACL of $2.5 million. The ACL includes a provision applicable to the current period fair value measurements of $2.5 million, which was included in provision for credit losses for the three months ended March 31, 2024.

MSRs measured at fair value on a non-recurring basis had a carrying value of $0.6 million, there was no valuation allowance as of March 31, 2024. The valuation allowance includes a provision of $0.2 million included in earnings for 2024.

Fair Value of Financial Instruments

Refer to Note 26, "Fair Value Measurements" to the Consolidated Financial Statements included in our 2023 Annual Report on Form 10-K filed with the SEC on February 26, 2024 for a description of methods and assumptions that were used to estimate the fair value of each financial instrument.

The fair values of our financial instruments are as follows:

TABLE 18.4


					Fair Value Measurements
(in millions)	Carrying Amount		Fair Value		Level 1		Level 2		Level 3
March 31, 2024
Financial Assets
Cash and cash equivalents	$	1,487	$	1,487	$	1,487	$	—	$	—
Debt securities available for sale	3,226		3,226		123		3,103		—
Debt securities held to maturity	3,893		3,547		—		3,547		—
Net loans and leases, including loans held for sale	32,285		30,591		—		93		30,498
Loan servicing rights	64		77		—		—		77

Derivative assets	119		119		—		116		3
Accrued interest receivable	175		175		175		—		—
Financial Liabilities
Deposits	34,735		34,679		28,050		6,629		—
Short-term borrowings	2,074		2,103		2,103		—		—
Long-term borrowings	2,121		2,158		—		1,386		772
Derivative liabilities	360		360		—		360		—
Accrued interest payable	64		64		64		—		—
December 31, 2023
Financial Assets
Cash and cash equivalents	$	1,576	$	1,576	$	1,576	$	—	$	—
Debt securities available for sale	3,254		3,254		420		2,834		—
Debt securities held to maturity	3,911		3,593		—		3,593		—
Net loans and leases, including loans held for sale	32,405		30,641		—		150		30,491
Loan servicing rights	61		73		—		—		73

Derivative assets	116		116		—		111		5
Accrued interest receivable	160		160		160		—		—
Financial Liabilities
Deposits	34,711		34,654		28,496		6,158		—
Short-term borrowings	2,506		2,505		2,505		—		—
Long-term borrowings	1,971		1,928		—		1,192		736
Derivative liabilities	328		328		—		328		—
Accrued interest payable	69		69		69		—		—

- Definition

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

+ References + Details