Company: BANC-PF
Filing Date: 2025-03-03
Form Type: 10-K
Source: 0001628280-25-009438
Chunk: 165

Company: BANC OF CALIFORNIA, INC.
Filing Date: 2025-03-03
Form: 10-K
Item: Item 8
Chunk 165
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" on the consolidated balance sheets. Debt valuation adjustments represent the portion of the total change in the fair value of a liability resulting from a change in the instrument-specific credit risk.Fair Value Option for Certain Debt LiabilitiesThe Company has elected the fair value option for the credit-linked notes issued in September 2022. The Company elected the fair value option because these exposures are considered to be structured notes, which are financial instruments that contain embedded derivatives. The notes are linked to the credit risk of an approximately $2.34 billion reference pool of previously purchased single-family residential mortgage loans at December 31, 2024. The principal balance of the credit-linked notes was $119.1 million at December 31, 2024. The carrying value of the credit-linked notes at December 31, 2024 was $118.8 million, which approximated the fair value. For the years ended December 31, 2024, 2023, and 2022, interest expense on the credit-linked notes totaled $19.8 million, $20.2 million, and $4.7 million, respectively, and is recorded in "Interest expense - Borrowings" on the consolidated statements of earnings (loss).The following table presents the changes in fair value of the credit-linked notes for the which the fair value option has been elected for the years indicated:   Year Ended December 31, Credit-Linked Notes202420232022 (In thousands)Changes in fair value - gains (losses) included in earnings$1,411 $(5,404)$(911)Changes in fair value - other comprehensive (loss) income $(2,589)$7,794 $— The following table provides information about the credit-linked notes carried at fair value as of the dates indicated:  December 31,Credit-Linked Notes20242023(In thousands)Carrying value reported on the consolidated balance sheets$118,838 $123,116 Aggregate unpaid principal balance in excess of (less than) fair value$301 $1,479 

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BANC OF CALIFORNIA, INC. AND SUBSIDIARIESNotes to Consolidated Financial Statements

NOTE 15.  FAIR VALUE MEASUREMENTS     ASC Topic 820, “Fair Value Measurement,” defines fair value, establishes a framework for measuring fair value including a three‑level valuation hierarchy, and expands disclosures about fair value measurements. Fair value is defined as the exchange price that would be received to sell an asset